Accern Market Neutral Sentiment Strategy (Neutralized Risk Exposure)

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Accern Market Neutral Sentiment Strategy (Neutralized Risk Exposure)

Kumesh Aroomoogan

posted May 18, 2015

Sentiment Market Neutral

[Quantopian Update] - This algorithm is now outdated, please visit this thread to see recent examples of Accern's data with pipeline and Quantopian 2

Hi Quantopians,

We conducted a very brief market neutral backtest using our news and blog data. Our goal was to generate excessive return, while neutralizing risk (getting beta to 0), and maximizing our portfolio cash usage. We grouped stocks into bulls and bears section.

We identified bull stocks to be long each week at market-open time at 9:30AM when a positively-toned story with high probability of impact is released.
We identified bear stocks to be short each week at market-open time at 9:30AM when a negatively-toned story with high probability of impact is released.

We enter positions at the beginning of each week at 9:30 AM and exit all positions at the end of the week at 3:45PM.

Following metrics were used:

Story Sentiment (SS) (-1 – 1): This metric calculated the sentiment score of a story which was relevant to a company.

A positive sentiment score meant that the story was trending positively.
A negative sentiment score meant that the story was trending negatively
This could be used as a directional trigger.

Event Impact Score on Entity (EIS) (1-100): This metric calculated if an article would have a greater-than-1% impact on the stock on the same trading day.

A high impact score meant that the article had a high probability of affecting the stock price by more than 1%.
A low impact score meant that the article had a low probability of affecting the stock price by more than 1%.

Buy if: Article Sentiment > 0.35 and Event Impact Score on Entity > 85
Sell if: Article Sentiment < -0.35 and Event Impact Score on Entity > 85

Attached is the full backtest report: Market-Neutral Backtest

Feel free to send me an email with questions: [email protected].

Best,
Kumesh Aroomoogan
Co-Founder & CEO, Accern

2 responses

Nice. Well-behaved code and beta .02 at the end. While this hits a max leverage of 2.24 at some point, it merely has to do with shorting and/or portfolio values in some way that I don't understand yet, doesn't impact the returns negatively. Chart is spot-on. Shorting is never beyond cash to cover. Spent only 1,000,359, great.

Tear-sheet of the algorithm (click on view NB for the full report).

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.