Back to Community
Alphalens on Sentdex dataset

Just curios to evaluate Sentdex dataset. Here are the results

Loading notebook preview...
Notebook previews are currently unavailable.
4 responses

Wow! Great job.

Interesting results. I guess this implies that the Long Short signal is not nearly as strong as the purely long signal. Which in turn, could mean that news sentiment often implies more attention to certain stocks, and therefore higher long bias - almost similar to the intuition behind the paper like Driven By Distraction here: https://www.quantopian.com/posts/backtesting-and-discussion-of-driven-to-distraction-paper

The NB analyze data starting from 2013-11-01, since then the market has been performing quite well consistently. It's not surprising the long only version has higher returns. We would have had different results if we had made the NB starting in 2007, I guess, but the Free data availability is 01 Jun 2013 - 22 May 2017

Yeah. Unfortunately the short timeframe is the biggest reason I am hesitant to use Sentdex as a data source

Seems very good