Data
Research Blog Events
About Careers Newsroom Get Started

News Patterns Matter When Constructing Sentiment Trading Strategies

View an extract of this session held at the Generation AI: The New Data-Driven Investor event in September 2018.You can also access the full video and slides.

Abstract

The Big Data revolution has enabled new ways of constructing orthogonal alpha signals around alternative data. In contrast with market data, most alternative data, and especially news, is available in an uninterrupted fashion, 24 hours a day, 7 days a week. In this presentation, Peter showcases RavenPack’s latest research on how intraday news patterns dictate the construction and implementation of sentiment strategies across thousands of news sources. He shows how to detect these intraday news patterns and how to take advantage of them for profit when constructing trading strategies.

Access Slides and Full Video

Area's to Consider

  • Algorithms with News Awareness
  • Understanding News Patterns
  • Intraday Distribution of News Matters!
  • Creating Sentiment Indicators
  • Tracking Performance by Sentiment Quintile
  • Creating Sentiment Strategies
  • Annualized Return Evaluation: Across lookback windows & snapshots
  • Evaluating News Patterns: Open Snapshot
  • Evaluating News Patterns: Close Snapshot
  • Recent News is Important
  • Expanding the VWAP Window

Take-Away's

  • News patterns should dictate the implementation of sentiment strategies.
  • The opening sentiment snapshot outperforms the closing snapshot due to closer news proximity.
  • Deviating from a default 24-hour sentiment aggregation window can lead to both improved annualized returns and Information Ratio.

This talk is based on the white paper Intraday News Patterns: Implementation of Sentiment Strategies

Access the full video and slides

Request access to the full video and slides of the session "News Patterns Matter When Constructing Sentiment Trading Strategies" held at the RavenPack Research Symposium in New York City in September 2018.

Access Full Video and Slides of News Patterns Matter When Constructing Sentiment Trading Strategies

Request Event Materials

Request Event Materials

We will process your personal data with the purpose of managing your personal account on RavenPack and offering our services. You can exercise your rights of access, rectification, erasure, restriction of processing, data portability and objection by emailing us at privacy@ravenpack.com. For more information, you can check out our Privacy Policy.

Discover the RavenPack Platform

Choose from over 180 curated datasets covering a variety of different topics.

Explore Now