Measuring Investor Attention and Sentiment on Stocktwits

Context Analytics (CA) leverages data from Stocktwits—a social media platform exclusively focused on financial markets—to measure investor attention and sentiment. CA systematically analyzes and scores messages, creating quantitative metrics at the individual security level. These metrics reflect both the tone of the conversation and the volumeof activity, calculated over a rolling 24-hour period and standardized against a 20-day baseline.

Two primary indicators used in this analysis are:

• S-Score: A standardized sentiment score reflecting the bullish or bearish tone of the conversation.
• SV-Score: A standardized score measuring message volume, indicating the level of investor attention.
  
  

Tracking Shifts in Sentiment and Attention

The investment strategy discussed here focuses on how securities respond to shifts in sentiment and attention. Specifically, we evaluate:

• SV-Delta: One-day change in SV-Score
• S-Delta: One-day change in S-Score

Securities are included in the strategy when SV-Delta > 1, indicating a notable increase in message volume and investor attention. Within this subset, securities are categorized into Long and Short buckets based on their sentiment shifts:

• Long: S-Delta > 2.5 (significant increase in sentiment)
• Short: S-Delta < -1.5 (significant decrease in sentiment)

The portfolio is rebalanced daily at market close, using data timestamped 20 minutes prior to ensure timely execution.

Strategy Performance

Since 2022, this approach has shown strong performance:

• Securities with rising sentiment and attention have consistently outperformed the market.
• Conversely, those with declining sentiment, despite elevated attention, have underperformed.

Key metrics:

• Average Daily Long Positions: ~70 securities
• Average Daily Short Positions: ~59 securities
• Annualized Return (Long/Short): 13.78% (Over 6% more than the RSP)
• Sharpe Ratio (Long/Short): 1.07 (More than double the Sharpe Ratio of RSP)

Implications and Dataset Utility 

The S-Factor dataset is Context Analytics’ flagship product, supported by over a decade of out-of-sample history. This data feed is highly versatile, offering:

• Timely insight into investor sentiment trends
• Suite of sentiment factors for enhanced security selection
• Unique access to alternative data from a platform solely focused on financial market discussions

The exclusivity of Stocktwits as a finance-only platform provides a strong signal, making it a valuable input for quantitative strategies, sentiment analysis, and risk modeling.

Explore the Data

To learn more about the S-Factor dataset or request access, visit
www.contextanalytics-ai.com or contact the team at ContactUs@ContextAnalytics-AI.com.

TL;DR:

Context Analytics uses Stocktwits data to measure real-time investor sentiment (S-Score) and attention (SV-Score) at the security level. A strategy combining spikes in message volume (SV-Delta > 1) with sharp sentiment shifts (S-Delta) produces alpha:

• Longs (S-Delta > 2.5) significantly outperform
• Shorts (S-Delta < -1.5) underperform
• The long/short strategy returned +13.78% annually with a Sharpe ratio of 1.07, outperforming RSP by over 6%.

The dataset enables high-frequency security selection, backtesting, and sentiment-based signal discovery—all from a finance-only social media source.