That's tremendous, Brad that's very helpful + DS2 datasets for that ML based strategy.
Appreciate the full tear sheet and thanks for your comment on Alphaone. Also noted that Q has now pipelined your DS2 data - thanks to Josh's prompt and Jamie's work - into your algorithm to exemplify the application.
My interest in this Sentiment Dataset version is on augmenting performance, more particularly the "sentiment" as an incremental alpha before portfolio optimisation. For that purpose:
- Agree with you that this strategy is about the alpha generating capacity of the sentiment datasets and, as an increment, the slippage and cost are already taken into account in the pre existing algorithm.
- Yes that's crazy daily turnover (that also fails the contest rules) - possible to run your algorithm and the tear sheet for 50~100 positions but scheduled to run twice a week? For instance:
for i in range(1, 5, 2): # Tues & Thurs only
- While Accern is "planning to be back on Quantopian in the near future".. is there a way to subscribe to the sentiment data?
Thanks for sharing and your great responses!