Heckyl Sentiment Score Acts as a Leading Indicator for Canadian Stocks

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canadaHeckyl Technologies, a leading news sentiment and market data analytics firm, has conducted a study to highlight how a trader can use sentiment scores to predict impending stock price movement. We have analyzed news sentiment data for 246 Canadian companies listed on Toronto Stock Exchange (TSX) from January 2016 to July 2016. On numerous occasions, our sentiment score has acted as a leading indicator for the share price movement of 213 companies or 87% of the total sample size.

Our analysis of sentiment and share price data for the past seven months highlighted 1,209 instances where positive or negative change in the sentiment score on a given date has caused a similar movement in share price for the subsequent trading session. On average we found 8 such instances per day or 173 instances per month.

To increase the confidence level, we have skipped cases where positive or negative change in sentiment score was reflected in share price movement on the same day. In other words, we have considered cases where stocks witnessed an improvement in sentiment score on a given day, while the price fell. Similarly, we have shortlisted stocks registering rise in price and fall in sentiment score on the same day.

This exercise has helped us to spot candidates for likely out-performance or under-performance in the next trading session. We believe such an approach could help a trader to build his strategy with greater confidence and trade in the market more aggressively.

The below chart shows the number of Instances when a positive change in sentiment on any day resulted in rise in share price for the subsequent trading session:
Image 1
[Image 1]

The below chart shows number of Instances when a negative change in sentiment on any day resulted in fall in share price for the subsequent trading session:
Image 2
[Image 2]

The below chart shows number of Instances when a negative change in sentiment on any day resulted in fall in share price for the subsequent trading session:
Image 3
[Image 3]

The below chart shows number of instances when sentiment score has acted as a leading indicator for negative change in share price based on the market cap levels:
Image 4
[Image 4]

To know more about study, email us at info@heckyl.com

 

 

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