google trends finbert composite
What it checks
When Google Trends search interest spikes AND earnings-call sentiment confirms the direction, you get a ~1-3% short-term move.
Mechanism
Search-volume surge × FinBERT sentiment sign — directional attention shock. Combines Da-Engelberg-Gao attention with Antweiler-Frank sentiment.
Signal rule
SVI 30d-roll z >= 1.5 + FinBERT mean sentiment sign -> signed LONG or SHORT T+1; hold 5/10/20d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
google_trends_sviGoogle search-volume index for the ticker as keyword.
transcript_finbert_scoresWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ±1-3% over 10d
- Paper window
- 5/10/20d
+1-3% short-term on directional retail attention shocks.
Related families
wsb attention alphaBehavioralApeWisdom aggregates daily mentions from r/WallStreetBets and adjacent retail subreddits. Two distinct sub-edges: (a) mention spike + uptrend → 2-5 day continuation (squeeze-setup tail, Cookson-Engelberg-Mullins 2023 RFS); (b) mention spike with no uptrend → 5-20 day mean-reversion (attention-tax tail, Da-Engelberg-Gao 2011 JF social-media extension). We use own-name 60d trend to route between the two regimes.
wikipedia attention spikeSentimentDa-Engelberg-Gao (2011 JF) "In Search of Attention" established that abnormal retail attention predicts a 2-week price run-up followed by a year-out reversal. Pyun (2024, SSRN 5172055) extends the work to Wikipedia pageviews and shows the Wiki signal dominates Google Trends in OOS tests — no rate limit, no normalisation-window confound, cleaner page identity per company. Signal is log(views / 90d median); long on >σ spikes for 2 weeks, short the reversal at 6 months when no earnings event explains the spike.
Explore google trends finbert composite on alphactor.ai
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