HIVE-BOT's Social Anomaly Scores Improve Absolute Momentum Strategies in the S&P 500 (whitepaper)

BY TYNAN OVERSTREET

In this paper we show how incorporating a socially derived dataset can produce an augmented absolute momentum strategy for trading the S&P 500 index (through the SPY ETF as a proxy). 

This augmented strategy achieves: Superior Sharpe Ratios, Higher win percentages and ending equity, Less severe max drawdowns and Spends less time invested in equities.

...including a social activity filter significantly improves the risk adjusted returns of
absolute momentum strategies.