Hi everyone!

We created a new strategy that utilizes the Brain Sentiment Indicator and ETF Constituents datasets. This strategy analyzes the sentiment of 25 different market sectors by looking at the news sentiment of the individual constituents in each sector ETF. The algorithm rebalances the portfolio on a monthly basis to ensure it remains exposed to the sectors with the greatest sentiment.

We tested several different versions of the strategy and compared its performance against several benchmarks. As shown in the following image, each version of the strategy outperforms the benchmark algorithms. 

Equity curves of each benchmark and strategy

To learn how we created this strategy and to get the algorithm code so you can run it yourself, see the Learning Center article.

Best,
Derek Melchin