stocktwits message velocity
What it checks
When stock message-board chatter spikes on a name already declining, we short it for the next 1-2 weeks because the noise tends to fade.
Mechanism
Message-board volume spikes (not sentiment) predict negative next-day returns. Retail attention gets faded by informed liquidity providers.
Signal rule
log(messages_count) 60d z>1.5/2.0 + own-name 60d downtrend โ SHORT 3/7/14d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
stocktwits_dailyWorker data table, see services/worker schema.
Expected edge
- Paper alpha
- -5 bps next-day per s.d.
- Paper window
- 1999-2001 (Antweiler-Frank Yahoo Finance)
~5 bps negative next-day per s.d. of log-message-count (Antweiler-Frank 2004).
Related families
stocktwits bull bear driftSentimentDaily bull/bear-ratio shift on StockTwits messages; long top-decile shift, short bottom.
wsb attention alphaSentimentApeWisdom aggregates daily mentions from r/WallStreetBets and adjacent retail subreddits. Two distinct sub-edges: (a) mention spike + uptrend โ 2-5 day continuation (squeeze-setup tail, Cookson-Engelberg-Mullins 2023 RFS); (b) mention spike with no uptrend โ 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.
google svi attention spikeBehavioral / AttentionGoogle SVI captures retail attention bursts that push price beyond fundamentals on the day of spike with subsequent reversal over 1-4 weeks.
Explore stocktwits message velocity on alphactor.ai
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