A regression-based financial news sentiment model, used as the only trading signal on Dow Jones 30 stocks, backtests to a 50.63% cumulative return and 23.67% alpha over 28 months, but the result relies on in-sample threshold tuning and a single market period.
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Backtesting Sentiment Signals for Trading: Evaluating the Viability of Alpha Generation from Sentiment Analysis
A regression-based financial news sentiment model, used as the only trading signal on Dow Jones 30 stocks, backtests to a 50.63% cumulative return and 23.67% alpha over 28 months, but the result relies on in-sample threshold tuning and a single market period.