This is a long-short multi-factor strategy based off the Goldman Sachs’ GSLC implementation by James Christopher. For those unfamiliar with long-short strategies, I highly recommend going over both the full lecture and accompanying algorithm before exploring this algorithm:
While James’ original algorithm used factors based off of momentum, value, volatility and quality (aka profitability), I chose to remove value (it didn't give great results) and replaced price momentum with a factor based off of trader mood sentiment. This new trader mood sentiment factor is the 30-day average bull minus bearish intensity score weighted by the number of StockTwits and Twitter messages. Each factor (trader mood sentiment, volatility, and quality) are weighted equally and ranked to determine long/short portfolios.
The raw trader mood sentiment data is provided by PsychSignal and made available through Pipeline. PsychSignal uses its own natural language processing (NLP) engine that analyzes messages from both StockTwits and Twitter in order to assign bullish and bearish sentiment scores for each security.
For questions on accessing this data, please email [email protected]
This algorithm is for education - the algorithm is not intended to provide investment advice.