All the timeframes ranges from 0 to 100 as the original CNN FGI. The different timeframes have been calulated as an average of the previous days, so for example, the weekly is the average of the previous 5 days, the monthly is the average of the last 20 days and the quarterly includes the last 60 days. On the left the weekly FGI is plotted under the weekly S&P500, whereas the daily, monthly and quarterly FGI timeframes are plotted on the right chart under the daily S&P500. In the above chart, FGI is plotted under the S&P500 index in different timeframes. Left: Weekly S&P500 and FGI right Daily S&P500 and FGI in other timeframes Thanks to Michael G., a SpikeTrade Member (a community of serious traders founded by Alexander Elder and Kerry Lovvorn), I could add some more data to the CNN Fear-Greed Index and I have now 5 years of historical data in my database, enough to see whether there is anything interesting (click to enlarge). Luckily, next to today’s data CNN publishes FGI value for the same day a year ago collecting data for a year I would then eventually have two years of historical data. I started collecting FGI values every day a year ago in order to create an indicator to plot with my Tradestaton charts: a task similar to what I already do with other indicators not available on professional trading platforms. The result is a daily value between 0 (maximum fear) and 100 (maximum greed). Looking for it online I saw forums of university researchers (not necessarily traders) who were trying to discover how CNN’s algorithm works just to recreate the index, but with no luck.įGI is calculated daily through a proprietary algorithm, putting together seven different parameters dealing with the options market, stock and bonds return, advancing-declining NYSE volumes, volatility, NYSE NH-NL, junk bonds demand and market momentum.

The company ignores requests for their historical data.

About a year ago I went looking for the historical data on the Fear-Greed index (FGI) which was created and is being updated daily by CNN.

Fear and greed index