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PureAlpha by Accern: Classic L/S Daily Liquidation

Dear Community Members,

Below is our PureAlpha Classic Long/Short Daily Liquidation strategy that trades on breaking news.

THE STRATEGY: We open our position every day and look for breaking news signals via Accern data feed. We enter positions throughout the day every time we get a signal. We liquidate all our positions end of the day.

SIGNAL FILE: https://dl.dropboxusercontent.com/u/428478238/PureAlpha_by_Accern_2015.csv

BACKTEST LENGTH: August 1st, 2015 to August 1st, 2016

BACKTEST REPORT (PDF): https://dl.dropboxusercontent.com/u/428478238/AccernReports_PureAlpha_ClassicLS.pdf

Main Accern Metrics Used

first_mention (0 - 1): a story that has not been mentioned on the internet for at least two weeks.
article_sentiment (-1 – 1): determines if the article was written positively or negatively by the author.
overall_source_rank (1- 10): determines if the source is reliable at releasing articles.
event_impact_score_on_entities (1-100): determines if an event has a chance of affecting the stock price of the mentioned company by more than 1% at the end of the trading day.

About Accern

Accern monitors over 300 million public news websites, blogs, SEC filings, and social media websites such as Twitter in real time to help institutional investors find relevant news stories across 8,000 U.S. public equities. The company provides quantitative traders with a low-latency API data feed solution and also serves fundamental investors, proprietary traders, equity researchers, and others with a web-based portal.

FOR QUANT FUNDS INTERESTED

Contact [email protected] to request access to our 5 years of historical news and blog data (20 million articles) and our low-latency API feed.

Enjoy,

Kumesh Aroomoogan
Co-Founder and CEO, Accern
[email protected]

Clone Algorithm
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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: 58b72b3c5ea96d5e3cd0936c
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2 responses

7.37 leverage/margin. Profited 278,581 on 5,513,182 activated/transacted for PvR of 5.1%

In Quantopian the file is ingested once a day, not contuniously.... so how does this work as it says on the tin?