Dear Community Members,
Below is our PureAlpha Classic Long/Short Monthly 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 month.
BACKTEST LENGTH: August 1st, 2014 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.
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.
Co-Founder and CEO, Accern
|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|