Real-World & Alternative DataExtended setexperimental liveNew

Stocktwits Message Velocity

Updated dailyData needs: lowshort only

2004

Antweiler-Frank 2004 JF.

In plain terms

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.

How it works

Message-board volume spikes (not sentiment) predict negative next-day returns. Retail attention gets faded by informed liquidity providers.

Live results

0 times picked on its own · 1 times inside a blend (1 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 1 such blended picks (1 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Stocktwits daily
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: -5 bps next-day per s.d.
Tested over: 1999-2001 (Antweiler-Frank Yahoo Finance)

~5 bps negative next-day per s.d. of log-message-count (Antweiler-Frank 2004).

Related families

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When StockTwits chatter swings bullish faster than usual, the stock tends to drift up briefly.

Wsb Attention AlphaReal-World & Alternative Data

When WallStreetBets suddenly piles into a name AND the chart is already trending up, that's a 2-5 day continuation. When they pile in and the chart isn't cooperating, ride the fade once the noise dies down a week later.

Google Svi Attention SpikeReal-World & Alternative Data

When Google searches for a stock spike, the stock pops then mean-reverts. Long the spike, short the reversal.

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