- ago
Is there a possibility in WealthLab 8 to consider fundamental news in the backtest, like for example this week the speech of J. Powell.

The goal should be no new signals on the day of such news and close open trades on the day of this news.

Regards Christian
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- ago
#1
The Fundamental extension already contains a news provider for free historical news with good relevance by SeekingAlpha. What makes it particularly helpful is that every news item is marked with a positive or negative value assigned by SeekingAlpha itself. I think you can backtest the impact of good/bad news on a stock then.

The event provider for fundamental news works if anchored to an existing symbol, processing a limited history of news hosted by the vendor. So no, a Powell speech is not something we consider at the moment. But I see a potential to accomplish it like this:

1. Find a source with a calendar of upcoming market moving events (economic releases, Fed chairman's schedule)
2. Develop a parser that caches the data and refreshes it periodically
3. If on the signal bar an upcoming market moving event is detected, return "true" in a symbol agnostic manner.

At the moment I'm thinking of a Building Block processed on the signal bar only. Let's tag this as a feature request then. Vote for it from the wishlist page.
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- ago
#2
Nice info, do you think that it is possible to view these alpha info also on the signals page maybe in an own colume?

Actually I use my own signal name informationen in the column Signal name, so maybe I can add the fundamental alpha info also as variable in the signal name, but where can I read out this fundamental alpha?

Regards Christian
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- ago
#3
Not in its own column but using any other method supported in WL - signal name does seem to be the closest match.

There are two event items for SeekingAlpha, "News" and "News (Brief)". Enable the event provider, choose desired item, then update the provider. Here's an example of how you can extract the data in a strategy:
CODE:
using WealthLab.Backtest; using WealthLab.Core; using WealthLab.Data; using System.Linq; namespace WealthScript1 {    public class MyStrategy1 : UserStrategyBase    {       //create indicators and other objects here, this is executed prior to the main trading loop       public override void Initialize(BarHistory bars)       {          var itemName = "News (brief)";          if (bars.EventDataPoints.Count == 0)             return;          //list of news          var list = bars.EventDataPoints.Where(i => i.Name == itemName).ToList();          //don't process a symbol with no news          if (list.Count == 0 || !bars.EventDataPoints.Any(i => i.Details["News"] != null))             return;          if (bars.EventDataPoints.Any(i => i.Details["News"] == null))          {             DrawHeaderText("In Data Manager, first check SeekingAlpha, then check a News item, and update events data before running the Strategy", WLColor.Red, 14);             return;          }          EventDataPoint fdp = list[list.Count - 1];          DrawHeaderText("The most recent event item is a " + fdp.ItemName + " with a value of " + fdp.Value.ToString("N2"), WLColor.Black, 18);          DrawHeaderText($"The {itemName} is: {fdp.Details["News"]}", WLColor.Black, 18);                }       //execute the strategy rules here, this is executed once for each bar in the backtest history       public override void Execute(BarHistory bars, int idx)       {       }    } }


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- ago
#4
QUOTE:
1. Find a source with a calendar of upcoming market moving events (economic releases, Fed chairman's schedule)
2. Develop a parser that caches the data and refreshes it periodically

What's really needed is an AI powered solution that's "turnkey". There are AI powered solutions for news, but they are not focused on financial news. (I know you're asking, "Is that a problem?" Perhaps not if the provider solution can control the query accordingly.)

The "turnkey" part is also a problem. Turnkey assumes there's a manager (like a mutual fund has an account manager) that will adjust the AI query as needed to market climate. To make it turnkey, we are probably talking about a paid service to cover the cost of the AI-query manager.

News like this is probably targeted at day traders, not investors. The affect on instrument price is very brief because the market adjusts very fast.
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- ago
#5
I leave the AI powered solution up to you while I'm going to deliver the simple building block in PowerPack B20 🤷‍♂️

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Best Answer
- ago
#6
Heads-up: this Block can be used now that PowerPack B20 is out!
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- ago
#7
Currently, the condition block can be used to open new or close existing positions on the day of a market moving news. But topic starter's goal is to also have NO new signals on the day of such news.

So to fully comply with his goal, in B21 we're adding a reasonable choice for better flexibility. For instance, if "News Are: Absent" as on screenshot below the entry would not take place if there's market moving news ahead.



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Glitch8
 ( 9.89% )
- ago
#8
Is this to support that old saying “no news is good news?”
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- ago
#9
Exactly.
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- ago
#10
Let me report some progress here:

> Develop a parser that caches the data
> What's really needed is an AI powered solution that's "turnkey". ... [A] solution [that] can control the query accordingly.

Both is now avalable with the new finantic.NLP extension. (see https://www.wealth-lab.com/extension/detail/finantic.NLP)

It allows a strategy developer to formulate a precise question (called a "Prompt" in the NLP world) and get tailored sentiment values for news articles.

The sentiment values can be transformed into an indicator which in turn can be used in a WL strategy ( no matter if Building Block or coded).

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