System Overview
Backtesting is done by looking at historical user tweets over a range of trading days. Theoretical daily returns are then calculated based on the most confident daily selected stocks. Below is an overview of the general system and data flow before backtesting begins.
The main steps that must be done before backtesting are locally saving stock price data and generating stock features based on pre-computed user features.
System Setup
Save historical stock open-close prices
Generate user features to be used in weighting user tweets
Generate daily stock features based on user features
Backtest using generated stock features
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