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Psychsignal Algorithm Using New QTradableStocksUS Universe

Note: This is an updated version of an old algo, simulated over more recent market data.

PsychSignal's StockTwits Trader Mood analyzes trader's messages posted on StockTwits, and provides a measure of bull/bear intensity for securities based on aggregated message sentiment. This dataset includes factors such as number of bullish and bearish messages, bull-to-bear intensity and bull-to-bear message ratio.

Both versions of this algo were inspired by Seong Lee's Social Media Trader Mood Series. Enjoy!

Clone Algorithm
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
Psychsignal's StockTwits Trader Mood analyzes trader's messages posted on StockTwits,
and provides a measure of bull/bear intensity for securities based on aggregated message

Psychsignal's factors used in this algorithm:

bull_minus_bear - subtracts the bearish intesity from the
                  bullish intensity [BULL - BEAR] to provide
                  an immediate net score.
import quantopian.algorithm as algo
from quantopian.pipeline import Pipeline
from quantopian.pipeline.factors import SimpleMovingAverage
from quantopian.pipeline.experimental import QTradableStocksUS
from quantopian.pipeline.classifiers.fundamentals import Sector

# Optimize API
import quantopian.optimize as opt

# Psychsignal's StockTwits Trader Mood
from import stocktwits

def initialize(context):
    Use this following function to create and attach your pipeline.
    Scheduling logic and variable initialization also go in here.
    # Constraint Parameters
    context.max_leverage = 1.0
    context.max_pos_size = 0.015
    context.max_sector_exp = 1.0
    context.max_turnover = 0.95

    # Pipeline Definition
    algo.attach_pipeline(make_pipeline(), 'PsychSignal')

    # Schedule rebalance function to run at market open on the first trading
    # day of the week.

def make_pipeline():
    Our pipeline scores securities based on their bull_minus_bear net score.
    Additionally, it includes beta-to-spy and Morningstar's Sector for use
    with the Optimize API.
    # This factor calculates the average [BULL - BEAR] intensity over the past
    # 3 days.
    bull_bear_intensity = SimpleMovingAverage(

    sentiment = bull_bear_intensity.zscore()

    # Define a trading universe:
    universe = QTradableStocksUS() & sentiment.notnull()

    # We will use Morningstar's Sector classifier to enforce sector neutrality
    sector = Sector()

    return Pipeline(
            'sentiment': sentiment,
            'sector_map': sector

def before_trading_start(context, data):
    # Pipeline output
    results = algo.pipeline_output('PsychSignal')

    # Sentiment values for today's trading universe
    context.sentiment = results['sentiment']

    # Sector mapping
    context.sector_map = results['sector_map']

def rebalance(context, data):

    # Our objective is to try to maximize alpha based on
    # sentiment values
    objective = opt.MaximizeAlpha(context.sentiment)

    # This constraint ensures that our portfolio is not overly
    # concentrated in a single security, or a small subset of securities.
    constrain_pos_size = opt.PositionConcentration.with_equal_bounds(
    # Constraint allocations to be equally distributed
    # between long and short positions 
    dollar_neutral = opt.DollarNeutral(tolerance = 0.05)

    # We will cap leverage at 1x
    max_leverage = opt.MaxGrossExposure(context.max_leverage)
    # Constraint turnover to be no more than 80%
    max_turnover = opt.MaxTurnover(context.max_turnover)

    # Sector neutrality constraint. Our portfolio should not be over-
    # exposed to any particular sector.
    sector_neutral = opt.NetGroupExposure.with_equal_bounds(

    # Rebalance portfolio
There was a runtime error.

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2 responses

@Ernesto Perez
Hi Ernesto. I cloned it & tried running it but got a message stating: "execution timeout". Please advise...


I just cloned the algorithm to test it on my end, and it didn't raise any errors during simulation. Would you mind opening a support request so we can take a closer look on your end?