Call-Put Ratio Reversals with Deviation Bands and Risk Limits

Summary

This strategy uses a smoothed call-put ratio as a sentiment signal. It calculates a 20-day moving average of the ratio, then compares it with a longer rolling average and standard deviation over 30 days. The description says to trade when the ratio crosses beyond bands 1.5 standard deviations from the average, with a stop set 1% from entry and a profit target three times that distance. It is framed for 30-minute NDX and SPX trading.

The source reveals material inconsistencies with that description: its buy condition crosses under the upper band, the sell condition crosses over the lower band, and it does not implement a matching, explicit short entry rule. The listed test settings instead use BTC/USDT futures over a short interval, while the indicator itself requests a US call-put ratio series. No performance results are included. These mismatches make the intended signals and the suitability of the stated backtest difficult to establish; the method needs careful implementation review and out-of-sample testing.

Key ideas

• The described signal compares a smoothed call-put ratio with bands based on a rolling average and standard deviation.
• The overview proposes entries beyond bands set at 1.5 standard deviations and a stop distance of 1% of entry price.
• The stated profit target is three times the stop distance.
• The source's cross conditions do not align clearly with the overview, and its short-side logic is incomplete.
• The published test settings and requested sentiment data refer to different markets, with no performance metrics provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.