Strategy Overview
news-sentiment is a long-only strategy that monitors recent news across a 24-stock large-cap universe — spanning technology, financials, healthcare, consumer staples, and energy — and enters positions when aggregate sentiment reads positive, exiting when it turns negative. The thesis is that markets systematically under-react to breaking news in the short run, and disciplined sentiment extraction can capture that lag before price fully adjusts.
The strategy went live on May 31, 2026 with a $10,000 paper-trading allocation and cleared the internal review gate with a risk score of zero.
Recent Activity
Since deployment, news-sentiment has executed exactly two trades:
| Date | Action | Symbol | Shares | Price |
|---|---|---|---|---|
| 2026-05-31 | Buy | AAPL | 6 | $312.06 |
| 2026-06-03 | Buy | MSFT | 4 | $428.23 |
Three of the four subsequent daily runs produced no executions — the strategy only acts when sentiment crosses its threshold, and most days it finds nothing worth touching. As of June 4, total portfolio value stands at $9,995.56, effectively flat from the $10,000 start, with $6,414.72 remaining in cash and both positions still held.
Backtest and Validation
The 451-day backtest (August 2024 – May 2026) produced a 0.19% total return and a 0.10% CAGR, with only two trades executed across the entire period. When the strategy does act, it commits meaningfully — portfolio turnover registers at 36.53% — but opportunity capture has been very sparse.
Walk-forward cross-validation breaks the picture down clearly:
| Fold | Period | Return | Sharpe | Trades |
|---|---|---|---|---|
| 1 | Aug 2024 – Jan 2025 | 0% | 0 | 0 |
| 2 | Jan 2025 – Jul 2025 | 0% | 0 | 0 |
| 3 | Jul 2025 – Dec 2025 | 0% | 0 | 0 |
| 4 | Dec 2025 – May 2026 | 0.19% | 1.50 | 2 |
Folds 1 through 3 generated no trades whatsoever — the signal simply did not fire across 18 months of varied market conditions. All of the strategy's recorded performance is concentrated in fold 4, which does show an encouraging out-of-sample Sharpe of 1.50. Despite that, the validation gate flagged the result: only 1 of 4 folds was positive, and the strategy did not pass.
Statistical robustness metrics reinforce caution. The Probabilistic Sharpe Ratio (PSR) of 0.923 implies a 92.3% likelihood the true Sharpe is positive — a respectable reading in isolation. But the Deflated Sharpe Ratio (DSR) of 0.551, which corrects for multiple-testing bias across 6 prior strategy trials, drops that confidence to 55.1%. That is barely above random.
Strengths and Risks
Strengths: The structural profile is clean. Maximum drawdown sits at just 0.05%, total transaction costs amounted to $2 across the entire backtest, and the strategy carries no leverage. When fold 4's Sharpe of 1.50 is taken at face value, it suggests the sentiment signal may have identified a genuine regime in recent months.
Risks: The core problem is sample size. Two trades across 451 backtest days is not enough data to distinguish edge from luck, and the DSR's warning is well-founded: with multiple strategies evaluated in parallel, the probability that fold 4's result is a false positive is uncomfortably high. Sentiment signals are also regime-sensitive by nature — news velocity and market tone shift quickly, and a signal that only emerged in late 2025 may not generalize across the next market dislocation.
Bottom line: Interesting early signal, but statistically thin. The strategy warrants monitoring rather than conviction — watch for trade frequency to increase before drawing meaningful conclusions about its real-world edge.