I have a pair trading approach that works well until ... (isn't it always like this).
I have found that some of the biggest loses are when one of the stock has news for that day (good or bad). I would like to not open a position if there has been news for either stock since the previous days close (or maybe further back). I realize that sometimes the news is in my favor, but I would like to backtest this.
How can my algorithm tell if there is news?
I have tried sentiment score with no success. I am not sure how it is calculated, but it seems to sometime have a value when there is no news.