TL;DR
- Abandoning this project
- Suggest you stay out of the market until P/E ratios fall a bit
- Some funds are going to blow up
I'm no longer pursuing the creation of signals for trading algorithms, and have come to be very cynical about the idea of mining social signals.
There are a lot of people claiming to have found signal, *even after their pet theory has been debunked*. Every single pattern that has been announced was probably garbage. Practitioners seem to keep making the same classes of mistakes, over-fitting and cherry-picking.
Smart hedge fund types stay as far away as possible from the hucksters. So even if I had something legitimate, they would lump me in with all the chartists and assorted loons.
If some people found something useful, they are not be talking about it and trying to use the advantage in-house. Any edge will wear off with competition and if it was chance they might even blow up. Odds are high we will see a few hedge funds go under in the next 2 years.
Socially-mined signals may not correlate well to financial metrics because the real economy is increasingly disconnected from our financial system. Our market P/E ratios are quite high by historical standards, so staying out or shorting the entire market is probably the best idea, without requiring sentiment analysis voodoo. Of course, fund managers won't tell you this.
Although I wanted to assess various NLP APIs, I decided to stop this project shortly afterwards and didn't do a thorough job of it. Early results were abysmal.