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Social Market Analytics, Inc.

A Leader in Unstructured Financial Data

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Social Market Analytics Identifies Most Accurate Twitter Accounts

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Social Market Analytics aggregates the intentions of professional investors as expressed on Twitter.  We identify these professional investors using our proprietary twelve factor ranking system.  One factor is the forward accuracy of Twitter accounts.  If a Twitter account is Tweeting bullishly based on our patented NLP process and the security subsequently moves higher over specified periods that account is deemed to be accurate over that period.  Overall accuracy is aggregated across time for each account.  We have been tracking account accuracy out-of-sample for the past seven years. – it is impossible to recreate this data.  SMA is the only provider with out-of-sample account accuracy.  We found significant variability in account accuracy for supposed professional investors.  Social Market Analytics account scoring algorithms are extremely effective in excluding non-professional professionals.

SMA’s Accurate Account algos aggregate expectations from the most accurate Twitter accounts for individual securities for a specified time period: 1-Day, 2-Day, 1-Week, and 1-Month holding periods.   Definition of ‘Accurate’ – correctly identifying directional movement of the security’s price.  We do not include size of move – their sentiment is positive and the security moved higher.

We calculate consensus expectations of these accurate accounts on individual securities.  Accurate account universes differ across holding periods. Some accounts are more accurate in the short-term (Day trades), while others are more accurate for longer holding periods (up to one month).

Securities with significant consensus for both long and short are available through our API’s, Widgets and in Reports.  Below is a widget identifying securities with the most positive and negative consensus.   In this example, SMA’s accurate account universe is currently 100 bullish on MCO over the next 24 hrs.  Positive, negative and neutral are identified separately.

accurate accounts

To discuss getting access to these or any other SMA data feed or widget please contactus@socialMarketAnalytics.com

Thanks,

Joe

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Social Market Analytics Sentiment Data for Forex Trading

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Social Market Analytics (SMA)  provides real-time sentiment data for equities (North America & LSE), commodities, foreign exchange, Crypto Currencies and ETF’s.

In this blog I am going to explore a trading system using the SMA Twitter based sentiment data to trade a basket of: EURUSD, EURGBP, GBPJPY, GBPUSD ,USDCAD ,USDCHF ,USDJPY.

We will explore two straight forward trading systems:

  • Forex Sentiment RSI: Daily Long/Short Strategy
  • SMA S-Score Based Currency Selection Model

RSI Calculation Methodology 

CurrencyBlog 1

This strategy is a single-factor model solely based on adjusting daily weights according to 3-Day Sentiment RSI on the 7 of the highest daily volume Forex pairs. It is long-short with the assumption that tails act with similar magnitude.

  • Long/Short
    1. RSI >= 50, Long
    2. RSI < 50, Short
  • 50% Long & 50% Short Asset Allocation
    1. Long weights are calculated using only longs
    2. Short weights are calculated using only shorts
  • Daily weight adjusted following:
    1. separately for the long side and the short side

 

currencyBlog2

The strategy significantly improves returns compared to an equal weighted baseline.  Sharpe and Sortino ratios are statistically significant:

  • Sharpe Ratio:
    • 2.77 Jan 03, 2017 to July 19, 2018
    • 3.40 YTD
  • Sortino Ratio:
    • 5.40 Jan 03, 2017 to July 19, 2018
    • 7.46 YTD

The volatility of each leg of the strategy is either kept stable or decreased in comparison with the baseline.

SMA S-Score Based Currency Selection Model

This daily trading strategy is based on the S-Score at 09:10:00 EST and executing a 24-hour hold based on these values at 09:15:00 EST. We find consistency across execution times.  The goal is to assess sentiment and take make a directional trade in agreeance, given that the sentiment falls at least 1 standard deviation from the 20-day mean.

Equal weighted based on standard deviation criteria:

– Long: S-Score > 1

– Short: S-Score < -1

– Baseline: Equal Weighted Portfolio of the 7 Currency pair

Long and short legs are capped at 50% of the daily portfolio, even on the occurrence of an outlier day where all pairs are long, or all pairs are short.

currencyBlog3

 

The strategy drastically improves returns compared an equal weighted baseline.  Up to 40% cumulative over a 19-month period with a consistent annual rate of return.

  • Sharpe Ratio:
    • 2.56 Jan 03, 2017 to July 19, 2018
    • 3.56 YTD
  • Sortino Ratio:
    • 4.93 Jan 03, 2017 to July 19, 2018
    • 7.72 YTD

These are straight forward strategies that illustrate the predictive nature of our dataset.  Twitter and StockTwits based factors.  To learn more about how Social Market Analytics sentiment data can help your trading please contact us at contactus@Socialmarketanalytics.com or Doug Hopkins @ (312) 788-2621.

 

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