SRI Sentiment Indicator: Historical Data

The chart below shows the Sentiment Indicator going back from 2005 to the present day.  As you can see, it's not perfect, but does do a decent job at showing market tops.  The Sentiment Indicator has been back-tested, by hand for reliability.  Data goes back to 1992/93.



                   Sentiment Indicator: Historical Chart vs. S&P500 Index.





The table below shows the results of my Backtesting.  Highest accuracy was in the T1 (one month time period) after Sentiment Indicator gave a High Risk/Bearish Signal (which would be a lower number, e.g., below 4.0).  Average subsequent S&P 500 loss was 2%.

I refined the Accuracy/predictive power of the Sentiment Indicator by examining at (and from) what levels it worked best.  When the Sentiment Indicator is well-below its recent peak, the Sentiment Indicator works best.  The most recent signal (1/2011),  and two previous: 1/2010 and 4/2010, have followed the above trend.  This raises my Confidence level in the implications of the current reading.

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