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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.


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.

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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


  • 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

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