Social Media as a Trading Signal in Futures Markets

At Context Analytics, we are the leader in converting unstructured data into actionable insights for the financial community. One of our most powerful and popular tools is our S-Factor feed, which provides real-time X (formerly Twitter) sentiment signals across various asset classes and exchanges—including the fast-moving futures market.

Futures traders are active market participants on platforms like X (Twitter). Their constant stream of commentary and analysis creates a rich source of sentiment data. When harnessed correctly, this sentiment has predictive potential, particularly for short-term momentum trading.

Building a Sentiment-Volume Combo Signal

To further explore the edge social sentiment can provide in futures trading, we created a combination factor that fuses sentiment and volume momentum.

Here’s how the signal was constructed:

1. Daily Trading Routine:
   • At 9:10 AM ET each trading day, we collected the latest social sentiment data.
   • We opened positions at 9:30 AM, holding them until 9:30 AM the following day.
   • Each day, a new set of contracts are selected for trading.
2. Factor Construction:
   • We calculated the 24-hour change in sentiment using the delta of the S-Score (our normalized sentiment score) between the current and previous day.

• We did the same for volume, computing the delta in the SV-Score.

These deltas provided a sense of momentum in sentiment and attention on X.

• We then created a combo score using the formula:
  
  

This construction amplifies the influence of securities seeing rapid changes in sentiment and engagement, especially when the underlying sentiment direction is strong.

The Trading Strategy

For this study, we were looking at 42 futures from our universe: including those such as Copper, Silver, Crude Oil, Sugar, Natural Gas, etc.

Using this combo score, we implemented a daily strategy:

• Top 3 contracts (highest scores) were entered long.
• Bottom 3 contracts (lowest scores) were entered short.
• Returns were measured against the average of all eligible futures contracts with sufficient X activity.

Performance Results (2018–Present)

We tested this strategy from the start of 2018, recalculating daily and compounding returns:

• Top 3 Contracts:
  • Outperformed the average futures basket by over 200% total return.
  • Generated over 15% annualized returns.
  • Maintained a Sharpe ratio near 1 and Sortino ratio near 2, indicating strong risk-adjusted performance.
• Bottom 3 Contracts:
  • Consistently underperformed, confirming the strategy’s ability to differentiate winners from losers.
• Year-to-Date (YTD):
  • Top 3 contracts are up over 14%.
  • Bottom 3 contracts are down more than 15%, reinforcing the robustness of the signal even in 2025’s market conditions.

Implications and Next Steps

This analysis demonstrates that social sentiment momentum—when combined with volume acceleration—can provide a predictive signal for short-term price action in futures markets. The fact that such strong returns were achieved using just 3 long and 3 short contracts per day underscores the efficiency and power of this method.

If you’re interested in exploring how social media signals can enhance your trading strategies in futures or other asset classes, visit contextanalytics-ai.com.