News Sentiment and News Volume based impulsive buying strategy

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News Sentiment and News Volume based impulsive buying strategy

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Finance News Sentiment

This algorithm aims to provide a good impulsive entry point into a security based on the News Volume generated by that entity.
The algorithm uses the change in Standard Deviation of News Volume over a period of 7 days along with News Sentiment for an equity, in this case 'The Boeing Company'

We define any sharp change in news volume as a major indicator, called Buzz. Any change greater than 50% in standard deviation of news volume is considered an event of deep interest.

The strategy here is to enter a long position when you encounter significant rise in news volume with positive average sentiment. And to close your position once the average sentiment goes negative.

More about the data:

The data used in this particular instance is powered by FinSentS published by InfoTrie Financial Solutions.

We scan the web (news, blogs, social media) and proprietary sources for thousands of stocks, FX, and commodities. Our natural language processing algorithms then read and analyse this data to generate a Sentiment around each security, FX and commodity. Sentiment scores are correlated to asset prices to ensure consistency. They can be used as a technical indicator or as a quantitative feed (market data) for your algorithms or systems (risk, compliance, etc).

The FinSentS News Sentiment database offers daily media sentiment indicators for 23,000+ global equities, calculated by applying sophisticated real-time machine-learning algorithms to the content of thousands of news websites and media sources from around the world.

Each stock has 5 indicators:
- Sentiment Score: a numeric measure of the bullishness / bearishness of news coverage of the stock.
- Sentiment High / Low: highest and lowest intra-day sentiment scores.
- News Volume: the absolute number of news articles covering the stock.
- News Buzz: a numeric measure of the change in coverage volume for the stock.

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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.