Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
18.3CryptocurrenciesReference
Sentiment analysis – naïve Bayes Bernoulli
Classify each day’s tweets about bitcoin as bullish or bearish with a naïve Bayes model and trade the predicted direction.
Why there is no chart
Social media text data and a trained classifier.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 18.3 · Cryptocurrencies
- Asset class
- Crypto
- In the lab
- Explained, not backtested
Sentiment analysis – naïve Bayes Bernoulli (18.3)
Classify each day’s tweets about bitcoin as bullish or bearish with a naïve Bayes model and trade the predicted direction.
Key equation
Data it needs
Social media text data and a trained classifier.
More in Cryptocurrencies
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.