Thesis & Universe
The news-sentiment strategy operates on a straightforward premise: enter long positions when recent news flow for a stock turns positive, and exit when sentiment sours. It covers a 24-name universe of liquid US large-caps spanning technology (AAPL, MSFT, GOOGL, NVDA), financials (JPM, BAC, V, MA), healthcare (JNJ, UNH, PFE, ABBV), consumer (PG, KO, WMT, COST, MCD, NKE, HD), energy (XOM, CVX), and industrials (CAT, HON, DIS). The thesis is intuitive and has academic precedent, but its edge is sensitive to how cleanly real-time news is parsed and how quickly signals are acted upon.
Recent Activity
The six most recent scheduled runs (June 15–22) show a quiet week: five of six sessions executed zero trades. The lone exception was June 18, when the agent initiated a 4-share buy of UNH at $402.85. Portfolio value has hovered in the $9,690–$9,790 range with approximately $2,810 in cash, suggesting the strategy is holding three open positions (UNH from June 18, BAC from June 12, MSFT from June 3) alongside an AAPL position opened in late May at $312.06.
All four recent trades are buys — no exits have been recorded — so the reported win rate of 0% reflects an incomplete accounting rather than outright losses. Still, the low signal frequency (roughly one actionable news event per two weeks across 24 names) raises a practical question: is the sentiment threshold too conservative, or is the current news environment simply not generating strong signals?
Backtest & Validation Performance
Over a 451-day backtest period, the strategy produced a total return of +0.19% (annualised CAGR: ~0.10%) on final equity of $10,018.55, with a maximum drawdown of just 0.05% and total fees of $2. The overall Sharpe of 0.74 is below the 1.0 threshold typically required for validation to pass.
The four-fold walk-forward validation paints a sharper picture of the strategy's uneven behaviour:
| Fold | Period | Return | Sharpe | Trades |
|---|---|---|---|---|
| 1 | Aug 2024 – Jan 2025 | 0.00% | 0.00 | 0 |
| 2 | Jan 2025 – Jul 2025 | 0.00% | 0.00 | 0 |
| 3 | Jul 2025 – Dec 2025 | 0.00% | 0.00 | 0 |
| 4 | Dec 2025 – May 2026 | +0.19% | 1.50 | 2 |
Only fold 4 generated any activity. The Probabilistic Sharpe Ratio (PSR) of 0.923 suggests reasonable confidence that the in-sample Sharpe is above zero — but the Deflated Sharpe Ratio (DSR) of 0.551, adjusted for six strategy trials, tempers that optimism and raises a mild overfitting flag. Validation status: failed (1 of 4 folds positive).
Strengths & Risks
Strengths: The drawdown profile is exceptionally clean; the strategy has preserved capital across all market conditions. Fold 4's out-of-sample Sharpe of 1.50 is genuinely encouraging if it persists. Turnover of 36.5% and near-zero fees suggest the model trades deliberately rather than churning.
Risks: Three consecutive zero-trade folds spanning 16 months represent near-total inactivity — a strategy that doesn't trade cannot generate returns. The entire performance record rests on two executed trades, making any statistical inference fragile. The DSR below 0.6 warrants caution before treating the recent fold-4 performance as proof of concept.
Outlook: News-sentiment is early-stage and operating as expected for a live pilot. The next meaningful milestone is its first exit trade, which will establish whether the sentiment-exit signal is as reliable as the entry trigger.