Taking the same strategy we presented earlier, and using the live data as it was available to our customers at 3:30, we have rolled our backtest forward, and looked at the performance of this strategy over the last few tumultuous months. Between May 13, and August 5, this strategy returned 10.4%, while the market lost 9.9% of its value. These returns have been fairly consistent, and turnover has been similar to what we saw in our original backtests. The results are plotted above.
Of course, this is a short time window - encompassing just 59 trading sessions, and we haven't taken into account trading costs in this analysis. Still, we find these results encouraging and will continue to look for other sources of long-term signal in our studies going forward.
If you'd like to learn more about the Recorded Future media analytics API, contact our team.
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Looks great, and thank you for being one of the few people to emphasize out of sample performance.
ReplyDeleteWhat's the average daily portfolio turnover of this trading signal?
Thanks for the comment. While we try to be very diigent in our modeling process, we think it makes sense to test your ideas on fresh, raw data.
ReplyDeleteThe daily turnover of this strategy is a little over 70%. High on it's own, but when incorporated in an existing trading strategy, we've found that media analytic data can be an uncorrelated source of alpha.