Ilya Gorelik is a founder and CEO of Deltix. In that role he is responsible for setting the strategic direction of the company, as well as overseeing global product development, sales and marketing. Ilya has more than 15 years of experience managing large-scale software projects and teams. He was one of the key development leaders of PTC, where he worked from 1989 to 1998,attaining the position of Senior VP of Engineering and Chief Technology Officer. From 1998 until 2000, Ilya was Senior VP of Product Strategy and Development and Chief Scientist for FirePond. From 2000 until founding Deltix in 2005, Ilya worked as Advisory CTO for HighRoads and several other software technology companies. Ilya has a Ph.D. in Computational Mechanics from Moscow Technical University, he received an MS in Mechanical Engineering from Minsk Technical University.
This presentation describes an implementation of an automated quantitative equity trading strategy based on sentiment factors derived from social media (primarily Twitter) and the results from back-testing this strategy. The sentiment factors were provided by Social Market Analytics (SMA). The strategy uses intraday S-Scores and generates trading signals based on S-Score trend-lines. We applied the industry standard moving average methodology for S-Score time-series data and established trend-lines by comparing slow and fast moving averages. We made a series of experiments on the members of S&P100 index from November 2011 till March 2013. The results of the backtesting showed Information Ratios between 3.0 and 3.72 across the four scenarios tested. The primary effects of hedging were to reduce average profit per share and drawdown amounts.