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Fear/Greed Indicator
Started:September 16th, 2011 (08:56 PM) by Loukas Views / Replies:7,758 / 31
Last Reply:January 16th, 2013 (08:59 PM) Attachments:8

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Fear/Greed Indicator

Old September 16th, 2011, 08:56 PM   #1 (permalink)
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Fear/Greed Indicator

Hi Guys,

Does anyone know how can I built a Fear/Greed indicator in order to measure the buying/selling pressure? This indicator exist at Bloomblerg but they dont explain how they calculate it. They just mention that they are using True Range formula.

Thanks

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Old September 16th, 2011, 08:56 PM   #2 (permalink)
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Old September 16th, 2011, 11:16 PM   #3 (permalink)
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Loukas View Post
Hi Guys,

Does anyone know how can I built a Fear/Greed indicator in order to measure the buying/selling pressure? This indicator exist at Bloomblerg but they dont explain how they calculate it. They just mention that they are using True Range formula.

Thanks

There are several in the downloads section, keyword "pressure"

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Old September 17th, 2011, 06:47 AM   #4 (permalink)
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Are you aware about Bloomberg's Fear Greed indicator? it looks reliable and it respont at the market's reactions very effective.

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Old September 17th, 2011, 08:10 AM   #5 (permalink)
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Loukas View Post
Are you aware about Bloomberg's Fear Greed indicator? it looks reliable and it respont at the market's reactions very effective.

doesn't it look like a macd, and is built with 2 atr's (slow and fast)?

I know there's more than that. but maybe that's a start and someone else can help.

we need a bloomberg and then type GRPH and go.

Attached Thumbnails
Fear/Greed Indicator-es-12-11-15-min-9_16_2011.jpg  

Last edited by Silvester17; September 17th, 2011 at 09:06 AM.
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Old September 17th, 2011, 08:11 AM   #6 (permalink)
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google it;
Please register to view the post attachment(s), image(s), or screenshot(s) - it's simple and free.

The Fear and Greed indicator is the spread of two weighted moving averages of the True Range. It is calculated in a way that it oscillates on a zero base line. The indicator provides signals in three ways.

1. A buy signal is generated when Fear (red) turns to Greed (green) and a sell signal is generated when Greed (green) turns to Fear (red)
2. Divergence - when price trends lower and fear reaches higher lows or when price trends higher and greed is at a lower high. These are signs of an exhausted trend.
3. When fear or greed spikes to extreme levels it is signaling the start of a top or bottom

The small “A” on the indicator is an alert level. In the settings of the indicator you have the ability to be alerted when the fear or greed exceeds a certain value. In the above, each A appears when it turns above or below the zero line.
The legend for the indicator displays “FG(5.00)” which represents the sensitivity factor. Depending on ones investment style, increasing or decreasing the value of this will speed up or slow down the rate of change of the Fear and Greed value. - Paul Ciana, CMT

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Old September 17th, 2011, 09:45 AM   #7 (permalink)
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here is various ideals of looking at spread using ATR and WMA

Attached Thumbnails
Fear/Greed Indicator-es-12-11-1-min-9_16_2011.jpg  
Attached Files
Register to download File Type: cs MACDwma.cs (9.4 KB, 52 views)
Register to download File Type: cs ATRwma.cs (7.4 KB, 66 views)
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Old September 17th, 2011, 04:36 PM   #8 (permalink)
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cory View Post
google it;
Please register to view the post attachment(s), image(s), or screenshot(s) - it's simple and free.

The Fear and Greed indicator is the spread of two weighted moving averages of the True Range. It is calculated in a way that it oscillates on a zero base line. The indicator provides signals in three ways.

1. A buy signal is generated when Fear (red) turns to Greed (green) and a sell signal is generated when Greed (green) turns to Fear (red)
2. Divergence - when price trends lower and fear reaches higher lows or when price trends higher and greed is at a lower high. These are signs of an exhausted trend.
3. When fear or greed spikes to extreme levels it is signaling the start of a top or bottom

The small “A” on the indicator is an alert level. In the settings of the indicator you have the ability to be alerted when the fear or greed exceeds a certain value. In the above, each A appears when it turns above or below the zero line.
The legend for the indicator displays “FG(5.00)” which represents the sensitivity factor. Depending on ones investment style, increasing or decreasing the value of this will speed up or slow down the rate of change of the Fear and Greed value. - Paul Ciana, CMT

Just had a look at the picture. I love that type of challenge. Rebuilding an indicator without knowing the formula. This is the approach I followed:

-> calculated two range series from the average true range, one from upcloses, the other one from down closes
-> used a fast period to calculate a weighted moving average from both series
-> use a slow period to calculate a weighted moving average from both series, but shift them first by n bars
-> then calculate a MACD type indicator from the four weighted moving averages

The result is an indicator, which is similar to Bloomberg's Fear Greed Oscillator, but not identical. Personally I feel that it looks better than the Bloomberg indicator, so I am happy that I have not created any copy. This is still work in progress, so I do not post it here. Might create an elite thread later.

Applied it to AAPL just to compare it with the other screenshot.

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Last edited by Fat Tails; September 17th, 2011 at 04:44 PM.
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Old September 17th, 2011, 05:43 PM   #9 (permalink)
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maybe the secrete sauce is in the setting

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Old September 18th, 2011, 05:35 AM   #10 (permalink)
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cory View Post
maybe the secrete sauce is in the setting

It does, but the indicator is not a MACD built from WMAs. The Fear & Greed Indicator relies on four weighted moving averages calculated from the true range. I still have to test some of the conditions for building them.

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