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News Sentiment and News Volume based impulsive buying strategy

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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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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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: 56d9a58e2aeaec0f37cb4780
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