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CEO Change + Sentiment Signal
Nathan Wolfe
posted
Using Data Research Pipeline

CEO changes usually have articles written about them. So why not use the CEO change dataset in combination with a news sentiment dataset to determine whether a CEO change is good or bad, and invest accordingly?

I've attached a notebook where I find matches between the EventVestor CEO Changes dataset and the Accern Alphaone News Sentiment dataset, and do some basic analysis to see if there's any rank correlation between the combined data and price movements. The result is a weak negative rank correlation between news sentiment shortly following a CEO change and relative price movement. This might be a good enough signal to contribute to a long-short trading strategy.

Pipeline and the tools available in Research make it easy to try to find signals of your own to use in a trading strategy. Try cloning this notebook to test out similar techniques on some of the other datasets we have available.

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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.

5 responses
Nathan Wolfe

Here's a long-short algorithm that tries to make use of the signal uncovered in the above notebook. It doesn't work terribly well, but maybe someone else can find a better way to use this idea.

Behavioral Trader

Great post! I think this is a great theoretical trade, but it does not pan out. This supports my point that going to great lengths in coming up with sophisticated (and often logical) algos does not pay in terms of effort, risk and finally, money.

Burrito Dan

I totally disagree! I think this kind of exploration and thinking can lead to true creativity and innovation. Yes, most ideas go nowhere, and there's way more missed than hits, but I don't agree with your conclusion from the evidence available.

Behavioral Trader

"this kind of exploration and thinking can lead to true creativity "

Actually, the opposite is true - true creativity is required for this kind of exploration and thinking.

Burrito Dan

Again, I have to disagree. My understanding of the creative process is it requires exploratory learning or preparation as a first step, as in this example model:

http://www.inc.com/jessica-stillman/the-4-stages-of-creativity.html

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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.