Out of Sample Strategy Performance Update

A little while ago, we published a blog post on a trading signal we've developed internally based on media analytic data. In May, we launched a live version of the components of that signal, as a feature of the Recorded Future API. Our customers can pull this data directly from the API at 3:30pm, giving them time to trade before the equity markets close at 4.

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.