The WSB Index

An algorithmic trading strategy to predict market volatility from /r/WallStreetBets comments

Download the Dataset Here

Overall Analysis

Total Comments: 2,979,131

Total Comments Mentioning Valid Securities: 281,550

First Comment: Wednesday, April 11, 2012 4:46:43 PM

Top Securities by Total Comment Mentions

Ticker	Mentions	Company	Sector	Industry
MU	33450	Micron Technology, Inc.	Technology	Semiconductors
AMD	32526	Advanced Micro Devices, Inc.	Technology	Semiconductors
TSLA	12079	Tesla, Inc.	Capital Goods	Auto Manufacturing
AAPL	11760	Apple Inc.	Technology	Computer Manufacturing
NVDA	11087	NVIDIA Corporation	Technology	Semiconductors
AMZN	10835	Amazon.com, Inc.	Consumer Services	Catalog/Specialty Distribution
FB	10827	Facebook, Inc.	Technology	Computer Software: Programming, Data Processing
Z	9188	Zillow Group, Inc.	Miscellaneous	Business Services
MSFT	8137	Microsoft Corporation	Technology	Computer Software: Prepackaged Software
QQQ	4939	Invesco QQQ Trust, Series 1	n/a	n/a

Best Securities by Sentiment Polarity (w/ 50+ Mentions)

Ticker	Sentiment	Company	Sector	Industry
SPWR	0.11	SunPower Corporation	Technology	Semiconductors
NTES	0.0969	NetEase, Inc.	Miscellaneous	Business Services
SWKS	0.0949	Skyworks Solutions, Inc.	Technology	Semiconductors
NTLA	0.0927	Intellia Therapeutics, Inc.	Health Care	Biotechnology: In Vitro & In Vivo Diagnostic Substances
ONCS	0.0912	OncoSec Medical Incorporated	Health Care	Major Pharmaceuticals

Worst Securities by Sentiment Polarity (w/ 50+ Mentions)

Ticker	Sentiment	Company	Sector	Industry
TRIL	-0.0415	Trillium Therapeutics Inc.	Health Care	Major Pharmaceuticals
LION	-0.0412	Fidelity Southern Corporation	Finance	Major Banks
LOCO	-0.0356	El Pollo Loco Holdings, Inc.	Consumer Services	Restaurants
RETA	-0.0329	Reata Pharmaceuticals, Inc.	Health Care	Major Pharmaceuticals
NEXT	-0.0319	NextDecade Corporation	Public Utilities	Oil & Gas Production

Tickers based on Trading Volume/Mention Ratio

Ticker	Volume/Mention	Company	Average Volume	Mentions
PT	6.203	Pintec Technology Holdings Limited	9143	1471
LINK	8.3809	Interlink Electronics, Inc.	5540	661
OLD	10.0424	The Long-Term Care ETF	1767	176
PY	11.1917	Principal Shareholder Yield Index ETF	1701	153
VALU	38.0743	Value Line, Inc.	3846	101
SELF	45.4174	Global Self Storage, Inc.	12626	277
SG	51.3975	Sirius International Insurance Group, Ltd.	4677	91
BRAC	52.8569	Black Ridge Acquisition Corp.	31027	587
APM	53.5876	Aptorum Group Limited	214	4
SP	55.1967	SP Plus Corporation	73246	1323

Most Active Posters on /r/WallStreetBets (Excluding Bots)

Username	Total Comments	Average Sentiment	Most Mentioned Ticker
theycallme1	16967	0.0249	Z
avgazn247	14042	0.0247	MU
SIThereAndThere	7915	0.0151	Z
brutalpancake	6022	0.0288	MU
Macabilly	5554	0.0165	AMD

Best Tickers Based on Average Upvote Count

Ticker	Average Upvotes	Company	Sector	Industry
WASH	52.0	Washington Trust Bancorp, Inc.	Finance	Major Banks
ALQA	44.0	Alliqua BioMedical, Inc.	Health Care	Medical/Dental Instruments
FMBI	39.0	First Midwest Bancorp, Inc.	Finance	Major Banks
POOL	33.0	Pool Corporation	Consumer Durables	Industrial Specialties
LIND	31.0	Lindblad Expeditions Holdings Inc.	Consumer Services	Transportation Services

Worst Tickers Based on Average Upvote Count

Ticker	Average Upvotes	Company	Sector	Industry
CNTY	-8.0	Century Casinos, Inc.	Consumer Services	Hotels/Resorts
CTRN	-8.0	Citi Trends, Inc.	Consumer Services	Clothing/Shoe/Accessory Stores
ABIL	-4.0	Ability Inc.	Consumer Durables	Telecommunications Equipment
DOVA	-3.0	Dova Pharmaceuticals, Inc.	Health Care	Major Pharmaceuticals
EEMA	-3.0	iShares MSCI Emerging Markets Asia ETF	n/a	n/a

Tesla, Inc. Analysis

Stock Ticker: TSLA

Total Comments Mentioning Ticker: 12,079

Average Sentiment Towards Ticker: 0.042

Stock Mention Ranking (SMR): 3

Ticker First Mentioned on WSB: 2,105 Days Ago

Tesla, Inc. Strategy Specific Returns (Starting w/ $1,000,000)

Overview

Strategy Name	Total Trades	Return Percentage	Return	Alpha
Buy And Hold	1	3.13%	$3,131.02	0
Strategy 1	197	51.78%	$517,800.90	48.65
Strategy 4	242	28.36%	$283,592.14	25.23
Strategy 5	56	4.82%	$48,154.94	1.69
Strategy 6	55	15.41%	$154,132.37	12.28
Strategy 7	75	-15.16%	-$151,645.97	-18.29

Return by Strategy

Note: Trades based on WallStreetBets comments are in BLUE, trades based on holding long-term are in RED

Facebook, Inc. Analysis

Stock Ticker: FB

Total Comments Mentioning Ticker: 10,827

Average Sentiment Towards Ticker: 0.0459

Stock Mention Ranking (SMR): 7

Ticker First Mentioned on WSB: 2,468 Days Ago

Facebook, Inc. Strategy Specific Returns (Starting w/ $1,000,000)

Overview

Strategy Name	Total Trades	Return Percentage	Return	Alpha
Buy and Hold	1	0.57%	$5,671.91	0
Strategy 1	242	-26.86%	-$268,566.70	-27.43
Strategy 4	276	-24.62%	-$-246,156.84	-25.19
Strategy 5	27	-9.8%	-$98,046.78	-10.37
Strategy 6	27	9.87%	$98,653.12	9.3
Strategy 7	44	0.32%	$3,186.45	-0.25

Return by Strategy

Note: Trades based on WallStreetBets comments are in BLUE, trades based on holding long-term are in RED

Data Visualizations

Top-20 Stock Tickers by Total Mentions

Stock Tickers Mentions by Day

Stock Ticker Mentions by Average Vote Count

Strategies

Notation

Abbreviation	Meaning	Formula
T	Stock Ticker
OP	Opening Price
CP	Closing Price
DP	Price Delta	abs(CP-OP)
PP	% Variation	((CP-OP) / OP) * 100
V	Volume
TC	Total Comments Mentioning T
S	Sentiment Towards T
TR	Ticker Rank (By Mentions)
AC	Total Comments

Language Processing

Overview

WallStreetBets is a discussion forum about day trading, stocks, options, futures, and anything market related, so it would be innacurate to assume that any comment containing a stock ticker indicated a long position on the security.

From my understanding this is an NLP problem that's relatively difficult to solve. A slighly more accurate way of extracting the type of position from a comment would be to assume a long position unless the word "short" is present in the comment.

Unfortunately, this strategy would fail in comments discussing options, and in our model the purchase of a put option would imply the same sentiment as a short position.

Lastly, the discussion of multiple securities in a single comment can cause confusion as to the implied position relative to each stock ticker.

Proposed Solution

Rather than using NLTK or RAKE, I created an algorithm present in main.extract_buy_or_sell() that attempts to extract the indicated position towards each stock ticker in a comment. Here is the algorithm in Psuedocode:

comment_info = {'puts': [], 'calls': [], 'buy': [], 'sell': []}
for sentence in comment:
    while sentence:
        word = sentence.pop()
        if word == 'buy' or 'buying':
            tempList = []
            while sentence:
                newWord = sentence.pop()
                if newWord is StockTicker:
                    tempList.append(newWord)
                elif newWord == 'puts' and len(tempList) > 0:
                    comment_info['puts'] += tempList
                    tempList.clear()
                    break
                elif newWord == 'calls' and len(tempList) > 0:
                    comment_info['calls'] += tempList
                    tempList.clear()
                    break
            comment_info['buy'] += tempList
        elif word == 'short' or 'shorting':
            while sentence:
                newWord = sentence.pop()
                if newWord is StockTicker:
                    comment_info['sell'] += newWord
                else:
                    break
        elif word == 'sell' or 'sold' or 'close' or 'closing' or 'shorts':
            tempList = []
            while sentence:
                newWord = sentence.pop()
                if newWord is StockTicker:
                    tempList.append(newWord)
               elif newWord == 'puts' and len(tempList) > 0:
                    comment_info['puts'] += tempList
                    tempList.clear()
                    break
                elif newWord == 'calls' and len(tempList) > 0:
                    comment_info['calls'] += tempList
                    tempList.clear()
                    break
                elif newWord == 'shorts' and len(tempList) > 0:
                    comment_info['buy'] += tempList
                    tempList.clear()
                    break
            comment_info['sell'] += tempList
        elif word is StockTicker:
            tempList = [word]
            while sentence:
                newWord = sentence.pop()
                if newWord is StockTicker:
                    tempList.append(newWord)
                elif newWord == 'puts' and len(tempList) > 0:
                    comment_info['puts'] += tempList
                    tempList.clear()
                    break
                elif newWord == 'calls' and len(tempList) > 0:
                    comment_info['calls'] += tempList
                    tempList.clear()
                    break
            comment_info['buy'] += tempList

Examples

Note: This algo is only being used for stocks traded on the Nasdaq, hence certain valid stock tickers are considered invalid as we are not actively pursing information on them.

"Short GPRO"

{"sell": ["GPRO"], "buy": [], "calls": [], "puts": []}

"HIMX, EOG, WPRT, VALE. Some high div paying stocks NLY, PMT, HTS."

{"sell": [], "buy": ["HIMX", "WPRT"], "calls": [], "puts": []}

"AAMRQ and ONCS did great for me (and EPZM yesterday)"

{"sell": [], "buy": ["ONCS", "EPZM"], "calls": [], "puts": []}

"holding ZGNX now. Thanks man!"

{"sell": [], "buy": ["ZGNX"], "calls": [], "puts": []}

"I threw a couple of hundreds on VVUS earnings. It both beat and is up! Yay!"

{"sell": [], "buy": ["VVUS"], "calls": [], "puts": []}

"No. OP is hyping his GPRO bet."

{"sell": [], "buy": ["GPRO"], "calls": [], "puts": []}

"I closed my SRPT position today as well. 258% gain."

{"sell": ["SRPT"], "buy": [], "calls": [], "puts": []}

"I think SFM has much better growth opportunty"

{"sell": [], "buy": ["SFM"], "calls": [], "puts": []}

"Though he's doing great in AAPL."

{"sell": [], "buy": ["AAPL"], "calls": [], "puts": []}

"I have some money to spare after my 300% gain on TSLA puts."

{"sell": [], "buy": [], "calls": [], "puts": ["TSLA"]}

"Disclaimer, I am short Aug 100 covered calls. I am also long AAPL (though that's implied)."

{"sell": [], "buy": ["AAPL"], "calls": [], "puts": []}

"looks like CSIQ is about to turn around tmr...."

{"sell": [], "buy": ["CSIQ"], "calls": [], "puts": []}

"GPRO October $60 Puts"

{"sell": [], "buy": [], "calls": [], "puts": ["GPRO"]}

Notable Revisions

December 29th 2018

Prior to December 29th, sentiment analysis was done on comments without taking the sentiment of the ticker itself into consideration. This overlook returned biased results in favor of companies with ticker names that doubled as valid words in the english dictionary.

To fix this overlook, I modified the string prior to calculating sentiment so that all tickers are replaced with "TSLA" (a sentiment neutral ticker).

An example of the bias caused by this overlook can be seen in the original Best Securities by Sentiment Polarity table below (initially published in commit 89ddf9d).

Ticker	Sentiment	Company	Sector	Industry
GOOD	0.4238	Gladstone Commercial Corporation	Consumer Services	Real Estate
NICE	0.4114	NICE Ltd	Technology	Computer Manufacturing
WIN	0.4112	Windstream Holdings, Inc.	Public Utilities	Telecommunications Equipment
LOVE	0.2962	The Lovesac Company	Consumer Services	Other Specialty Stores
STRO	0.2424	Sutro Biopharma, Inc.	Health Care	Biotechnology: Biological Products (No Diagnostic Substances)

theriley106/TheWSBIndex

The WSB Index

An algorithmic trading strategy to predict market volatility from /r/WallStreetBets comments

Download the Dataset Here

Overall Analysis

Top Securities by Total Comment Mentions

Best Securities by Sentiment Polarity (w/ 50+ Mentions)

Worst Securities by Sentiment Polarity (w/ 50+ Mentions)

Tickers based on Trading Volume/Mention Ratio

Most Active Posters on /r/WallStreetBets (Excluding Bots)

Best Tickers Based on Average Upvote Count

Worst Tickers Based on Average Upvote Count

Tesla, Inc. Analysis

Tesla, Inc. Strategy Specific Returns (Starting w/ $1,000,000)

Overview

Return by Strategy

Facebook, Inc. Analysis

Facebook, Inc. Strategy Specific Returns (Starting w/ $1,000,000)

Overview

Return by Strategy

Data Visualizations

Top-20 Stock Tickers by Total Mentions

Stock Tickers Mentions by Day

Stock Ticker Mentions by Average Vote Count

Strategies

Notation

Language Processing

Overview

Proposed Solution

Examples

Note: This algo is only being used for stocks traded on the Nasdaq, hence certain valid stock tickers are considered invalid as we are not actively pursing information on them.

Notable Revisions

December 29th 2018