Hey guys! Posted a short time in the past about my undertaking that invests primarily based on sentiment evaluation (I do know you’ve got seen sentiment trackers abound) and needed to offer an replace and a few new numbers. Lengthy story brief for the week — you may $WISH you had $AMC in your portfolio final week, and…eh I bought nothing. IMPORTANT: Many of the beneath is a repost of stuff I’ve posted earlier than (apart from the brand new numbers), however I’ve added/trimmed down as I get higher at explaining the best stuff.
This is the supply code! Observe: I embody this in case there are algo-traders right here, however neither the code nor the algo is the point of interest of this publish. Additionally, this does should be edited based on your wants (how most of the prime you wish to put money into, the way you wish to deploy it, and so forth.)
I rebalanced my portfolio final week to incorporate the 15 shares beneath (equal-weighted), giving me a 2.18% return week over week (internet of any charges/slippage), in comparison with a 0.39% loss for SPY and 0.66% loss for my benchmark, the VanEck BUZZ Social Sentiment ETF. Necessary to notice that not each week is a breakout win (even when some member shares within the ETF are), and never each week is a win in any respect. I’ve had some weeks the place I’ve trailed each SPY and BUZZ by loads, however general I am beating SPY YTD and BUZZ since its introduction on March 4. This algorithm has returned 52%, in comparison with SPY’s 10% and BUZZ’s 7%.
Your typical sentiment evaluation stuff coming by. I do that stuff for enjoyable and become profitable off the shares I decide doing it most weeks, so thought I might share. I created an algo that scans the most well-liked buying and selling sub-reddits and logs the tickers talked about in due-diligence or discussion-styled posts. Along with scanning for what number of occasions every ticker was talked about in a remark, I additionally logged the recognition of the remark (giving it one thing much like an exponential weight — the extra upvotes, the upper on the remark chain and the extra individuals normally see it) and/or publish, and eventually checked for the sentiment of every remark/self textual content publish.
How is sentiment calculated?
This makes use of VADER ( Valence Conscious Dictionary for Sentiment Reasoning), which is a mannequin used for textual content sentiment evaluation that’s delicate to each polarity (optimistic/destructive) and depth (power) of emotion. The way in which it really works is by counting on a dictionary that maps lexical (aka word-based) options to emotion intensities — these are often called sentiment scores. The general sentiment rating of a remark/publish is achieved by summing up the depth of every phrase within the textual content. In some methods, it is simple: phrases like ‘love’, ‘take pleasure in’, ‘glad’, ‘like’ all convey a optimistic sentiment. Additionally VADER is sensible sufficient to grasp the fundamental context of those phrases, akin to “didn’t actually like” as a fairly destructive assertion. It additionally understands the emphasis of capitalization and punctuation, akin to “I LOVED” which is fairly cool. Phrases like “The turkey was nice, however I wasn’t an enormous fan of the edges” have sentiments in each polarities, which makes this sort of evaluation difficult — primarily with VADER you’d analyze which a part of the sentiment right here is extra intense. There’s nonetheless room for extra fine-tuning right here, however ensure that to not be doing an excessive amount of. There’s the same phenomenon with making an attempt to arduous to suit present knowledge in stats known as overfitting, and also you don’t wish to be doing that.
The easiest way to make use of this knowledge is to find out about new tickers that may be trending. This provides many individuals a chance to find out about these shares and resolve in the event that they wish to put money into them or not – or develop a technique investing in these shares earlier than they go parabolic. Though the outcomes from this algorithm have overwhelmed benchmarked sentiment indices like BUZZ and FOMO (on a risk-adjusted foundation), sentiment evaluation is on no account a “long run SPY-beating technique.” I’m properly conscious that the majority of my loopy returns are from GME and AMC (and extra lately, WISH). These tickers do present up in BUZZ, however after they do on Reddit and at a decrease weighting.
So, the info from final week:
Reddit – Highest Sentiment Equities This Week (what’s in my portfolio)
Estimated Whole Feedback Parsed Final 7 Day(s): 300k-ish (the textual content file I retailer my knowledge in ended up being 55mb — it’s nothing loopy but it surely’s fairly giant for simply textual content)
*Sentiment rating is calculated by inventory mentions, upvotes per remark/publish with the point out, and sentiment of feedback.
Completely happy to reply any extra questions concerning the course of/outcomes.