Promising Results from Automated FX Trading Strategy using Country Sentiment Factors

Detailed Results for Out-Of-Sample period: 1 January 2013 to 30 June 2013
Performance report:

Drawdown chart:

Daily returns distribution:

Red bars are the lowest 5% of daily returns;

The Ravenpack Country ESS is just one example of sentiment being used to derive alpha signals. Other studies can also be done on individual company sentiment data, on raw news data and Twitter-based sentiment.

In this paper, we have described just one implementation of a strategy using Country Sentiment Factors. Quantitative researchers would typically do many more experiments and formal optimization around parameters such as holding period and time windows. Interested readers can download the cloud-based version of Deltix QuantOffice (DCS), the required historical market data and the strategy described in this paper, here: https://dcs.deltixlab.com/subscribe/

Related article: FX Trading Signals From Systematic News Flow Analysis (January 15th 2013)

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