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:
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.
|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|