Xiang Yu is Chief Business Development Officer at OptiRisk Systems. She has a PhD in Mathematics from Brunel University, where her research interests lie in sentiment analysis, predictive analytics and market micro-structure and their applications in financial analytics. In OptiRisk Systems, she conducts client facing applied research, data management and partnership management. Xiang and Prof. Mitra are co-editors of the “Handbook of Sentiment Analysis in Finance” (published 2016).
Enhanced Trading Strategy using Sentiment and Technical Indicators
We compute daily trade schedules using a time series of historical equity price data and applying the powerful mathematical concept of Stochastic Dominance. In contrast to classical mean-variance method this approach improves the tail risk as well as the upside of the return. In our recent research we have introduced and combined market sentiment indicators and technical indicators to construct enhanced RSI and momentum filters. These filters restrict the choice of asset universe for trading. Consistent performance improvement achieved in back-testing vindicates our approach.