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CEO Change + Sentiment Signal

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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5 responses

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.

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5762e3ba6c99b00f8cd05ab0
There was a runtime error.

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.

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.

"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.

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: