Result tracking for SignalSolver Sentiment

Updates to SignalSolver Sentiment Results

Updates to SignalSolver Sentiment Results

Daily updates of Sentiment for selected symbols

Daily updates to the SignalSolver Sentiment results

Paper trade updates to the posted Sentiment runs and some additional symbols will be shown here. These updates are posted before the market open. Tickers which have just changed sentiment will show as "Turned" and will be paper traded at the next open following the date shown. We show the equity from a fixed date, currently July 16th 2021, the date we started paper trading this particular basket of symbols. The start date of the equity curve ($10,000) can be found in the postings:

AAPL, TQQQ, FNGU, SOXL, SQQQ, TECL, FAS, GUSH

Ticker Date: Sentiment Jul-16-2021 Current Return
AAPL 9/23/21: Turned  Bullish $32,323 $33,383 3.3%
TQQQ 9/23/21:  Bullish $98,781 $114,660 16.1%
FNGU 9/23/21:  Bearish $444,937 $435,280 -2.2%
SOXL 9/23/21: Turned  Bearish $43,184 $37,694 -12.7%
SQQQ 9/23/21:  Bearish $39,752 $41,170 3.6%
TECL 9/23/21:  Bullish $36,013 $39,689 10.2%
FAS 9/23/21:  Bullish $38,983 $48,300 23.9%
GUSH 9/23/21: Turned  Bearish $100,476 $110,694 10.2%
Average: 6.5%
FAS trading simulation

FAS trading strategy using SignalSolver Sentiment

FAS trading using SignalSolver Sentiment

A sentiment driven trading strategy with adaptive thresholds

Methodology

Sentiment is usually based on a consensus of opinions of expert humans. In contrast, SignalSolver sentiment is the consensus opinion of multiple backtest algorithms. This is a trading strategy for the FAS financials triple leveraged ETF using SignalSolver sentiment as the driving technical indicator. For a full explanation of the SignalSolver sentiment methodology and how to interpret the simulation results, please click here.

Equity curves for the FAS trading strategy

Equity curves for the FAS trading strategy

The sentiment for this simulation is calculated from the top 10 backtest algorithms. We use a fixed 50% threshold, however this could change as we move forward should the threshold surface change significantly. So far it has been working quite well, as we can see from the performance table below and the strategy would have kept us safely long for nearly the entire uptrend. All trading for this simulation is done at the open of business the trading day after the sentiment reading was taken.

Performance

Performance of the FAS trading stragegy vs. buy/hold

Performance of the FAS trading stragegy vs. buy/hold

The FAS trading strategy (L&S column above) has performed 60% better in this simulation than buy-hold in terms of reward/risk, and about 50% better in terms of total return. Notice that 237% CAGR and 7.23 reward-risk are very high metrics for buy-hold, so improving on them is not trivial. Drawdown has been a little lower than that of buy-hold, 24.7% being a very good value for a leveraged fund such as this. As with all these simulations, this is not a backtest result rather it is a walk-forward simulation using out-of-sample trading prices.

Threshold management

Below is the threshold surface for the entire window of 7/16/20 through 8/13/21, showing good structure for the buy=sell constrained surface. The peak is currently at a threshold of 60%, which would have given a $45,115 return had you been able to predict it in advance. However we will stick with the 50% threshold for the time being.

Threshold surface (buy=sell)

Threshold surface (buy=sell)

Click here to see the SignalSolver settings for this strategy: FAS Sentiment Settings

 

We now move into the paper-trading phase for this project. We will alert readers to changes in sentiment prior to the trading point.

Updates

Updates to this strategy and current sentiment can be found here.

TECL Trading Strategy Using SignalSolver Sentiment

TECL trading using SignalSolver Sentiment

A sentiment driven trading strategy with adaptive thresholds

Methodology

Sentiment is usually based on a consensus of opinions of expert humans, however SignalSolver sentiment is the consensus opinion of multiple backtest algorithms. In the same vein as the previous few posts, this is a TECL trading strategy using SignalSolver sentiment using an adaptive threshold. For a full explanation of the SignalSolver sentiment methodology and how to interpret the simulation results, please click here.

TECL Equity curve using adaptive threshold

TECL Equity curve using adaptive threshold

The adaptive threshold technique examines the thresholds surface every 5 trading days (configurable) and re-optimizes the thresholds accordingly. The threshold is currently at 25% but this could change as we move forward. The buy and sell thresholds are constrained to be equal for TECL.

Performance

TECL trading strategy performance, using adaptive threshold

TECL trading strategy performance, using adaptive threshold

The TECL trading strategy using SignalSolver sentiment (L&S column above) has performed just under 2 times better in this simulation than buy-hold in terms of reward/risk,total return, and (CAGR). Drawdown has been around the same as for buy-hold. Just to re-iterate--this is not a backtest result, it is a walk-forward simulation using out-of-sample trading prices.

Below are the threshold surface for the entire window of 7/16/20 through 8/13/21, showing good structure both for the buy=sell constraint, and the entire surface.  Note the peak is at $34,789.

TECL partial threshold surface for equal buy-sell, with a peak currently centered on 25%

Above: TECL partial threshold surface for equal buy-sell with a peak currently centered on 25%

TECL entire threshold surface for the current sentiment profile

Above: TECL entire threshold surface for the current sentiment profile

Click here to see the SignalSolver settings for this strategy: TECL Sentiment Settings

We now move into the paper-trading phase for this project. Updates will be shown below.

Updates

Updates to this strategy and current sentiment can be found here.

SOXL Trading Strategy using SignalSolver Sentiment

SOXL trading strategy using SignalSolver Sentiment

Another Sentiment driven trading strategy

Showing the equity curve for constant threshold

Showing the equity curve for constant threshold

Methodology

In the same vein as the previous few posts, this is another SOXL trading strategy using SignalSolver sentiment, this time we use a threshold of 70%. For a full explanation of the SignalSolver sentiment methodology and how to interpret the simulation results, please click here.

The 70% threshold showed up as the optimum mid May 2021, (below) so we will start our paper trading with that value. The constant threshold result is shown above, but this is a backtest not a walk-forward test as shown below. The equity curve is currently showing a good deal of drawdown at 21%. However let's see what happens with SOXL since it shows nice structure on the threshold surface. Is it breaking down? or will it pick up and perform well like it has in the past.

The equity curve for simulation using adaptive thresholds

SOXL trading equity curve for simulation using adaptive thresholds

Performance

Performance of the simulation

Performance of the simulation

Trading on sentiment (L&S column above) performed around 2 times better in this simulation than buy-hold in terms of reward/risk, with annualized return (CAGR) being around  1.6 times better for Long/Short trading of the signals and trading long only being, unsurprisingly, most of the gain. In all cases, drawdown was lower for the sentiment trading than for buy-hold. Its easy to forget that what you really want from a trading strategy is not necessarily to beat both long-hold and short-hold, which is quite hard to do for something with a high annualized return,  but simply keeping on the right side of profitability has a lot of merit. This strategy exceeded that goal so far.

Below is the threshold surface for the entire window of 7/16/20 through 8/12/21, showing a good structure, but with somewhat of a offset. Ideally I would like to see the structure centered on 50% which would mean that the backtests are more neutral in their sentiment reading, but this may correct in the future.

Partial threshold surface for the simulation, equal buy and sell thresholds

Partial threshold surface for the simulation--equal buy and sell thresholds

Click here to see the SignalSolver settings for this strategy: SOXL Sentiment Settings

We now move into the paper-trading phase for this project. Updates will be shown below.

Updates

Updates to this strategy and current sentiment can be found here.

AAPL Trading System using SignalSolver Sentiment

AAPL Trading using SignalSolver Sentiment

AAPL trading using SignalSolver Sentiment

Using multiple algorithms to drive trading strategy

Original Post July 23 2021

AAPL Trading System using SignalSolver Sentiment

AAPL trading system using SignalSolver Sentiment

Methodology

Shown above is the simulated result of trading AAPL using SignalSolver Sentiment. The sentiment is shown as a blue area chart in the background. The equity curve for the strategy is shown in yellow, buy-hold equity in white. Sentiment is calculated each day after the close of business by assessing what percentage of the top 50 SignalSolver backtest algorithms are bullish. The buy and sell thresholds are fixed at 50% (red line) with bullish being above the threshold. A trade is executed at the next open whenever a change in sentiment is indicated, so the trade price is always out-of-sample from the backtest period which is fixed at 250 trading days. The simulation then walks forward to the next day, repetitively. Algorithms are re-parametrized every 10 trading days and flushed and refreshed every 50 trading days. For more information on methodology, please see here.

Performance of simulated AAPL trading system using SignalSolver Sentiment

Performance of AAPL trading system using SignalSolver Sentiment

Performance

Trading on sentiment (L&S column above) performed around four times better in this simulation than buy-hold in terms of reward/risk, with final equity being around 3 times better for Long/Short trading of the signals and trading long only being about twice as good. In all cases, drawdown was lower for the sentiment trading than for buy-hold.

Below is shown the threshold surface for the equal buy/sell thresholds showing that annualized return (CAGR) is insensitive to threshold changes. The peak return is $26,863 at a threshold value of 83%.

Click here to see the SignalSolver settings for this strategy: AAPL Sentiment Settings

We now move into the paper-trading phase for this project. Updates will be shown below.

Updates

Updates to this strategy and current sentiment can be found here.

AAPL Update 29 Aug 21

AAPL Update 29 Aug 21