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

The %returns shown are the result of actual trading these securities using the SignalSolver Sentiment technique. They are not a backtest result. While backtesting was used to determine the parameters of the algorithms prior to July 16th 2021, since then we have been walking forward with out-of-sample data trading using those parameters. The returns are exactly what any trader would have realized by following the method from July 16th 2021, assuming the published opening prices could have been attained in practice. Also we have not changed the portfolio members subsequent to July 16th.

How we trade

These updates are posted before the market open (the time at which all trades are made) so that you can trade along with us if you wish. Tickers which have just changed sentiment will show as "Turned" and will be need to be traded appropriately at the next open following the date shown. Other tickers ( designated "Bullish" or "Bearish") do not need to be traded as they are already in the appropriate hold state, long or short. We hold long if bullish and short if bearish for each security. We show the equity value from a fixed date, currently July 16th 2021, the date we started actual trading this particular basket of symbols. Note that the July 16th  equity values are not very meaningful because they derive from backtests, but the percentage change in equity to the present is meaningful. The equity curves can be found in the postings:

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

Ticker Date: Sentiment Jul-16-2021 Current Return
AAPL 1/25/22:  Bullish $32,323 $27,311 -15.5%
TQQQ 1/25/22:  Bullish $98,781 $96,086 -2.7%
FNGU 1/25/22:  Bullish $444,937 $473,289 6.4%
SOXL 1/25/22:  Bullish $43,184 $26,537 -38.5%
SQQQ 1/25/22:  Bearish $39,752 $32,015 -19.5%
TECL 1/25/22:  Bullish $36,013 $32,581 -9.5%
FAS 1/25/22:  Bearish $38,983 $44,555 14.3%
GUSH 1/25/22:  Bearish $100,476 $79,871 -20.5%
Average: -10.7%

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.

FNGU Trading using SignalSolver Sentiment

FNGU trading using SignalSolver Sentiment

Using multiple algorithms to drive trading strategy

Original Post July 27 2021

Sentiment

Sentiment usually refers to an analyst opinion on whether a financial instrument will increase in value (bullish sentiment), or decrease (bearish sentiment). However, in this FNGU trading strategy using SignalSolver sentiment we are combining the opinion of multiple backtest algorithms to derive sentiment.

Methodology

Shown above is the simulated result of trading FNGU using SignalSolver Sentiment. The sentiment is the 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 10 SignalSolver backtest algorithms are bullish. The top 10 are selected by sorting the 139 algorithms each day according to performance. 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 sentiment crosses this threshold, 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 flushed and refreshed every 3 months and re-parameterized at the end of each month

Performance

Trading on sentiment (L&S column above) performed around nine times better in this simulation than buy-hold in terms of reward/risk, with annualized return (CAGR) being around 6 times better for Long/Short trading of the signals and trading long only being about 5 times 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 sensitive to threshold changes but profitable over a wide range. 50% is close to the optimum, which is at 41% through 49% ($580,959 return).

FNGU threshold surface for equal thresholds

FNGU threshold surface for equal thresholds

 

 

 

Click here to see the SignalSolver settings for this strategy: FNGU 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.