Bitcoin Fear and Greed Index fails to exceed baseline in 1-, 7-, and 30-day return predictions

A study published in Digital Finance on September 1, 2026, analyzing 2,945 daily bitcoin observations from February 1, 2018, to February 27, 2026, found that the Bitcoin Fear and Greed Index failed to beat historical average baselines for return prediction across 1-day, 7-day, and 30-day horizons. Researchers compared out-of-sample forecasts from a ridge regression model trained on an expanding window against the historical mean of the training period, and the index did not outperform that benchmark in any of the three timeframes. The index did describe persistent market sentiment regimes, but that persistence did not translate into predictive power for subsequent returns. The findings suggest the sentiment gauge is better suited to characterizing market states than to serving as a standalone trading signal.