Back Testing The Daily Sentiment Index by Lee Ang
ARTICLE SYNOPSIS ...V13:06: (255-259): Back Testing The Daily Sentiment Index by Lee Ang
Market traders and advisors use sentiment surveys as a tool to identify extreme bullishness or bearishness. Here, then, is one trader's research into identifying what the best levels of a sentiment survey are for trading Treasury bond futures.
The daily sentiment index (DSI) is based on nonprofessional speculators' opinions of futures markets. Its creator, market timer Jake Bernstein of MBH Commodity Advisors, surveys nonprofessional traders at the end of each trading day regarding their level of bullish sentiment for eac...