People are worried about sharpe ratios and all this BS stuff. My personal conclusion is that when people get a winning strategy they don’t publish. On the other hand, in the trading world where everyone is a competitor, you might want to deliberately introduce some confusion - but it looks like plenty of actors are doing this anyway.The reality is for these models you mitigate risk via temporary and ever changing methods. I hope that your personal implementation of your strategy takes into account 2008 ;).
There is some novelty with how you weigh the sentiments (based on how much of an insider or expert they are) but I am sure existing trading strategies weren't just taking a dumb average of a twitter firehose either.I would suspect that the “longer term impacts add[ing] up” would just be market health.Day-trading randomly-picked stocks with random buys and sells is a Markov approximation of an index fund :)I know as little about this as you do; my own gathering is that “fundamentals” are any signal you can get from a public company’s mandated quarterly reporting.And yes for short term trading (minutes/hours/few days) fundamentals matter rather litte - after all you can be a successful trader of Bitcoin, which has pretty much no fundamentals.Except on volatility events like macro data releases, earnings, FED decisions, surprise news (looking at you GE) etc.Keep playing the game and longer term impacts add up.But do the fundamentals of an individual investment matter in the short term compared to the fundamentals of the market as a whole?However, there is little point in testing a collapse with the same model.If the stock market collapses anyone investing would be out of luck. I’m getting 100% Yo Y returns when I augment my model, in real life.he confirms the momentum factor, which isn't surprising since there's more solid evidence for it than anything else, going back hundreds of years.He doesn't say what fundamental factors he looked at, so it's possible that value, size, and profitability/quality would hold up as well.