advanced-algorithmic-trading

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Figure 32.2: Aluminum Smelting Strategy - ARNC/UNG
32.3.3 Sentdex Sentiment Analysis Strategy
Figure 32.3 displays the performance of the Sentdex Sentiment Analysis strategy applied to
defence stocks.
In the previous chapter for this particular strategy three separate simulations were carried
out, one for tech stocks, one for energy and one for defence. This particular example uses the set
of defence stocks, which include BA, GD, LMT, RTN and NOC–all components of the S&P500.
It can be seen that the strategy had a significant upward period in 2013 which gives rise to a
high trailing annualised Sharpe of 2.5, exceeding 3.5 by the start of 2014. However the strategy
performance remained flat through 2014, which caused a gradual reduction in the annualised