RavenPack Macro Factors on Deltix Platform for Quant FX Traders

We’ve reached another milestone in our quest to make news analytics available to a broader range of the quantitative financial community. Yesterday we announced that RavenPack’s Regional Macro Sentiment Indicators are available in the Deltix Cloud Services (DCS) software.

The partnership means forex and global macro quant traders can subscribe to, construct models using C# and backtest RavenPack’s data - without the overheads of downloading it into a database and aggregating it into a signal. But we’ve also reproduced one of Peter Hafez’s (our head of Quant Research) FX trading models in the DCS platform which users can try out.

US Equity Sentiment Review; Week Ending May 19, 2013

Markets continue to defy deteriorating equity sentiment

The RavenPack US Equity Sentiment Factorfell another 7% last week to 55.73, now just 0.13 off the 52-week low hit in the last week, but the equity markets continue their march higher while free cash looks for a home as central banks continue pumping money into the system.

The S&P 500 index gained 2.1% on the week to finish at 1,667.46, a new 52-week high. Equity futures indicate markets will open around unchanged this week.

In the last week, there were also more positive economic events than negative, which lends some credibility to view that economic conditions are improving, particularly in the US. Indeed, the RavenPack Global Macro Sentiment Index edged off the nine-month lows it registered a week ago, and last week the number of positive economic events outnumbered negative by 1.66 to 1.


Shortcuts: Weekly US Equity Sentiment vs. S&P500,  Weekly US Equity Sentiment by Sector and Top Movers. Definitions.

Webinar Summary: Building country sentiment indicators for global macro trading

Wednesday’s seminar attracted a healthy audience, plenty of good questions and some appreciative feedback. We know many people could not make it, so I wanted to highlight the key points. If you would rather watch the whole video, please view it here:

US Equity Sentiment Review; Week Ending May 12, 2013

US Equity Sentiment drops nearly 10% as earnings season dwindles

The RavenPack US Equity Sentiment Factorfell nearly 10% last week to 59.91, only slightly above the 52-week low, mainly due to the second quarter earnings season drawing to a close so the volume of positive announcements was dwindling. US equity indexes are, however, expected to open slightly lower this week.

While sentiment fell significantly last week, the S&P 500 ended the week slightly higher at 1633.34 having posted a new all-time high at 1635.01 mid-week.

On the macro front, the RavenPack Global Macro Sentiment Index (GMSI) finished last week at its lowest point since mid-August 2012, pressured by negative events such as a higher trade deficit and lower retail sales for the UK, a lower current account surplus for Japan, lower inflation in China and lower retail sales in the US.
Shortcuts: Weekly US Equity Sentiment vs. S&P500,  Weekly US Equity Sentiment by Sector and Top Movers. Definitions.

Join my webinar ”Building country sentiment indicators for global macro trading”

I will show how to build country-level sentiment indicators using RavenPack’s award-winning data, and also how to start building an intraday FX trading strategy using these indicators. When is it? Wednesday May 15th at 11 am EST Where is it? Online. Click here to register

Who should attend? Quantitative developers and researchers, portfolio managers, traders, financial engineers and risk professionals.

Why should I attend? Not only will you find out how to use news analytics in practice, but attendees will receive a free e-book of RavenPack’s award-winning research into the practical applications of news analytics. And you might be the lucky winner of a Kindle Fire HD pre-loaded with RavenPack’s research.

Click here to register

In order to make the most out of the webinar, I advise you to read the paper “Country News Sentiment Factors Predict Forex Prices” on which the discussion will be based. That will help you prepare some questions in advance which i’ll be addressing at the Q&A session at the end of the webinar.

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US Equity Sentiment Review; Week Ending May 5, 2013

US Equity Sentiment slips a little, but global macro sentiment plummets

The RavenPack US Equity Sentiment Factorslipped a little last week but continues to point to a positive performance for stocks. The RavenPack Global Macro Sentiment Indicator, meanwhile, printed a 9-month low over the weekend.

The US Equity Sentiment Factor fell around 0.9% to 66.25, while the Global Macro Sentiment Indicator nearly halved on the week. Most of the ‘damage’ to global macro sentiment was done after the ECB interest rate announcement Thursday. Friday’s better-than-expected US Non-Farm Payrolls report did not seem to help macro sentiment much.

The S&P 500 index rose 2% last week and European over-the-counter trading indicates it will open around unchanged Monday.



Shortcuts: Weekly US Equity Sentiment vs. S&P500,  Weekly US Equity Sentiment by Sector and Top Movers. Definitions.

RavenPack’s opinion on use of Twitter in trading receives broad press coverage

The events of Tuesday April 23rd 2013 when the Associated Press’s Twitter account was hacked, a fake Tweet sent concerning an explosion at the White House, and the Dow Jones Industrial Average’s subsequent, yet brief, 143-point fall has brought home to many the danger of using social media as a single source when trading.

Unsurprisingly, RavenPack was inundated with calls and e-mails from journalists asking whether we used Twitter to produce our data and seeking our opinion on its use.