How to Build a Quant Strategy from Reddit’s WallStreetBets Sentiment

How to Build a Quant Strategy from Reddit’s WallStreetBets Sentiment

3 February 2021
Tristan Murfitt, Senior Data Engineer

Joining the GameStop hype, Tristan Murfitt, one of SIGTech's technologists, built a long-only signal strategy analysing memes following the Reddit ‘short squeeze’ saga.

Tristan collected data from Reddit to build his WallStreetBets “meme stock” systematic trading strategy.

First, he scraped US company tickers from Reddit posts, and aggregated the data into useful metrics like the daily number of mentions and comments. This data was integrated with the SIGTech platform to generate trading signals based on the daily sentiment of stocks.

test

The SIGTech platform automated the backtesting process, including reinvesting any dividends and handling corporate actions.

Within an hour, the strategy was production-ready and after performance analysis, it was shared with our quant team for collaboration. The positive results have prompted the SIGTech team to add a new diversified signal to its research sources.

Wallstreetbets meme stock strategy performance


No doubt, retail investor sentiment from social media will influence quant trading strategies in the future.

The question is, did the winners playing the GameStop hype implement data like this in their strategies?

Contact us if you would like to find out more about the topics discussed in the article above.

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