Sentiment Performance During Covid-19 Volatility

March 16, 2020
Joe Gits

People have been asking about performance of sentiment data over the past few weeks.  We track performance for all asset classes multiple ways.  A lot of recent volatility has been overnight.  The chart below illustrates performance of S-Factor S-Score data relative to pre-market close sentiment S-Scores. Criteria for this chart is as follows.

  • Minimum $5 filter.
  • S-Scores are snapped at (3:40 PM EST).  20 minutes before close.
  • We multiply S-Score with the subsequent Close-to-Open returns to calculate 'Stock Score'.
    • For example. AAPL has an afternoon Pre-Close S-Score of 3.0 and has a Close-to- Next Open return of 10%. Its score would be a .30 = (3.0*.10))
  • Positive 'Stock Scores' are hits and negative 'Stock Scores' are misses.

We aggregate all ' Stock Scores' each day to create a daily sum.  The Sanity Graph is the plot of aggregating the daily sum of Stock Scores.

The below chart illustrates cumulative performance.  As you can see recent large spikes in the chart illustrate the predictive power of S-Score for next days open. We are seeing a significantly higher number of positive Stock Scores over the last weeks.  Sentiment data is proving to be an even more important predictor of stock moves during this period of volatility.  

StockTwits data is below. Both charts are consistent.

During this period of market volatility Social Market Analytics S-Score data can be an effective aid.

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