FiND Sentiment-based Strategy beats STI companies’ 1-year stock returns
Heckyl has developed FiND sentiment moving average (MA) strategy for measuring the potential impact of the positive/ negative news flow on the value of equities in real-time. The sentiment MA strategy indicates bullish/bearish signals based on the crossover of fast and slow moving averages of the company’s daily sentiment score.
We back-tested our sentiment MA strategy on 27 companies (excl. banks) from Straits Times index (STI). Our back-testing has proved the potential of sentiment MA strategy to beat STI companies’ stock price performance.
If an investor/a trader was to buy/sell STI stocks as per the bullish/bearish signal and hold the position for the period till the signal reverses, then an equal investment in 27 STI stocks could have yielded 6.3% return over the past 1-year (as against 0.3% price return).
[Image 1: Investment performance based on sentiment signal and stock performance]
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Mildly bearish Sentiment Index indicates sideways trade for STI: Heckyl
Heckyl has developed a Sentiment Index that analyses the potential impact of the sentiment on the value of Straits Times Index (STI) in real-time.
The Sentiment Index indicates bullish/bearish signals based on the crossover of fast and slow moving averages of the daily sentiment index value. This is done through an analysis of the news flow on the 30-largest public listed companies in real-time.
Our back-testing has indicated a strong positive correlation (0.75+), implying that the Heckyl Sentiment index is an alternative proxy for the Straits Times index.
Currently, Heckyl Sentiment Index for Straits Times index is in mildly bearish territory, indicating the sideways trade may continue.