Stocktwits Message Velocity
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.
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
When StockTwits chatter swings bullish faster than usual, the stock tends to drift up briefly.
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.
When Google searches for a stock spike, the stock pops then mean-reverts. Long the spike, short the reversal.
Explore Stocktwits Message Velocity on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.