wsb attention alpha
What it checks
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.
Mechanism
ApeWisdom 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.
Signal rule
7d-mean mention z-score over 90d own history; (a) long when z>=z_thresh + 60d uptrend (continuation); (b) short fade 5-15 days after spike if z has reverted under 1.0 + 60d downtrend.
Data dependencies
wsb_mentionsWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- Continuation 2-3% over 5d; fade 4-7% over 15d (era-dependent)
- Paper window
- 2018-2024
Continuation tail: 2-3% over 5d on squeeze setups; fade tail: 4-7% short premium on post-spike reversion in the 2021-2024 retail era.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
attention spikeSentimentDa-Engelberg-Gao 2011 "In Search of Attention": abnormal Google search volume (SVI z-score over a trailing 52-week baseline) predicts short-run overpricing — when SVI z > +2 retail piles in and the price mean-reverts over 2-4 weeks. Especially strong in retail-heavy names (small/mid-cap, meme stocks). Trends is weekly; we forward-fill onto the daily price index and use the harness's MC test to gate the small per-name edge.
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.
short squeeze metaMetaCombines existing borrow_ftd_squeeze, borrow_rate_spike, ftd_threshold_list into a short-squeeze readiness index that also requires positive attention shock (Wikipedia or social).
crowded long unwindShort-FlowHeavy institutional ownership (top 5% n_filers in 13F) + recent vol expansion + negative price trend + crowded sector → setup for forced-deleveraging unwind. Mirror image of short-squeeze: too many longs holding the bag, first selloff cascades. Short signal.
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