Regression Based Alpha Strategies with Sentiment

This is a fully detailed article on Alpha Strategies with real-world examples from a trading firm that focuses on regression-based alpha strategies.

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Here is the full description summary from the article:

  • Using regression-based analysis on news sentiment[1]┬ácan provide higher returns while limiting maximum monthly drawdown and risk.
  • Alexandria uses an elastic net regression calibrated on a rolling 10-year window to rank stocks by sentiment; the rolling window helps to capture evolving market conditions and regime changes.
  • Running a long-short strategy using the calibrated sentiment data consistently outperforms the market.
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