Below are charts with the bearish intensity scores for the most bearish stocks on Twitter for the week and month ending 1/7/13.
Below are charts with the intensity scores for the most active stocks on Twitter for the week and month ended 1/7/14.
Below are the charts with the bullish intensity scores for the most bullish stocks on StockTwits for the week and month ending 1/7/13.
Over the past week the majority of our core indicators improved, however, perceptions of risk are getting close to an early warning. As I noted yesterday, two of the four components of our Market Risk indicator are very close to signaling with a third not far behind. Given the fact that the market is so close to all time highs this is a bit disconcerting. Adding weight to my concern, our Investor Contentment index is dropping rapidly while our Market Stability index has flat lined for the past month. Both of these indicators should be much higher with the market less than one percent away from all time highs. It’s nothing to worry about yet, but tolerance for risk is the thing I’m watching most closely at the moment. Our Twitter Sentiment indicator for the S&P 500 Index (SPX) printed several extremely high readings (greater than 30) and a few moderately negative readings (less than 15) over the past few weeks . The underlying data shows the bears in complete
Over the past week our measures of the economy finally moved back to positive. As a result, our portfolio allocation will change by the close today (1/3/2014). All of our portfolios will be 100% long. Sometimes it feels like we’re buying at a high, but we follow the indicators not our feelings. All of our other indicator categories except for perceptions of risk improved last week. Our measures of risk are acting very skittishly and have fallen quite a bit with virtually no deterioration in price. This suggests that it won’t take much downside price action for people to start selling in earnest. Currently two of the four components of our Market Risk indicator are very close to signalling while our core indicators are very positive. As a result, I suspect that market risk would be what moves the portfolios to a hedged position or raising cash in the event of a more serious decline. Below is a chart with the normalized scores for each of the core indicator categories.
I’ve finally collected enough data from the StockTwits stream to create a StockTwits Top 10 portfolio. It is similar to the Twitter Top 10 portfolio, but has a few differences. First, (and most obvious) it only uses quantified StockTwits messages to select the stocks each month. The Twitter portfolio uses quantified tweets that can contain messages pushed to Twitter from some StockTwits members. Second, I use a smaller set of about 100 stocks as the starting point for the StockTwits portfolio. The Twitter portfolio selects from about 1000. As a result, the StockTwits portfolio will be weighted to more well known stocks. The rules for stock selection are simple. On the first Friday of every month the ten stocks with the highest bullish intensity scores from the previous month are placed in the portfolio. Basically, the system picks the stocks that people on StockTwits are buying, messaging bullish fundamental or technical analysis, or mentioning in a positive way. The underlying theory is that these stocks should provide a good starting
The Twitter Top 10 Portfolio ended this month up 3.39% (I’ll update the exact returns and prices after the close). For the year it was up 34.4% against the S&P 500 Index (SPX) gaining about 25%. Please note, this portfolio records its returns from the first Friday of each year. Both the stocks in the portfolio and SPX had 1/4/2013 as the date for their starting prices. It’s the first Friday of the month so it’s time for January picks. Two stocks stayed in the portfolio from last month. They are Yahoo (YHOO) and Baidu (BIDU). Below are the rest of the new symbols for this month. HIMX, MA, DDD, SCTY, CELG, LVS, GRPN, KNDI Here are the next five symbols in the list. XOM, SINA, V, SSYS, WYNN Below is a performance chart for the year. I’ll add the details of last month’s stocks sometime after the close. At the close the portfolio was up 3.57% for the month and 34.65% for the year. Below are the details of
During 2013 there were 29 long trade with trend setups based on our Twitter Sentiment indicator. FYI, this post has some details on how a setup is created and how I annotate the charts. 25 of the signals have been closed and 4 are still open. Of the closed signals 18 were winners giving a 72% win rate. The winners averaged an 11.6% gain and the losers averaged a 5.8% loss. The four open signals are all currently above their signal price. If they are added to the stats the win rate rises to 75.8% with an average gain of 13.3%. Overall it was a very good year for trade signals. Here are the charts of the four open signals. Google (GOOG), MasterCard (MA), Baidu (BIDU), Yelp (YELP). Here are the details of the trades. Symbol Current Trend With Trend Trade Type Buy date Buy Price Sell Date Sell Price Gain / Loss F Up Yes Long 2/26/2013 12.25 6/10/2013 15.71 28.24% DDD Up Yes Long 3/30/2013 29.42 5/16/2013 45.59
2013 was a decent, but not great year for the Downside Hedge portfolios. The hedged portfolio performed the best (which is normal in an uptrend) gaining nearly 25% on the year. In contrast, the S&P 500 Index (SPX) gained roughly 30% for the year. The under performance of the hedged portfolio is a result of being hedged (to as much as 50%) early in the year. From late May the portfolio only had a few instances of hedging while at the same time the longs in the portfolio had their largest gains and outperformed SPX which allowed the portfolio to catch up somewhat. For official tracking purposes I use a couple of ETFs that have fairly high beta as the longs. I’m very comfortable with the gains considering the fact that the portfolio is designed to catch most of the upside, but protect against catastrophic losses. Below is a performance chart of the hedged portfolio. The long / cash portfolios substantially under performed the S&P 500 index with the core