The document discusses market sentiment indicators that can be used to analyze overall investor attitudes and predict short-term price movements. It defines market sentiment as the general feeling toward a security or market revealed through price and trading activity. Sentiment indicators mentioned include the CBOE Volatility Index (VIX), bullish percentage, relative strength index (RSI), and put/call ratio. Specific sentiment metrics like the high/low ratio and sentiment values are discussed as potential factors for Websim trading strategies focused on sentiment-driven price changes.

1. Market sentiments
ddinh – WorldQuant Vietnam
August 2016

2. Market sentiments - Notion
• Market sentiments = Investor sentiments
• Market sentiments >< Fundamental value
• Market sentiments:
– overall attitude of investors toward a particular
security or financial market
– revealed through the activity and price movement
of the securities traded in that market
– Rising price = Bullish, Falling price = Bearish
– Revealed through the activity and price movement

3. Market sentiments – Why necessary?
• To measure and profit from the short-term
price changes often caused by investors'
attitudes toward a security
• For contrarian investors trading in the
opposite direction of the prevailing sentiment
• Traders make money by finding stocks that are
overvalued or undervalued based on market
sentiment

4. Market sentiments - Indicators
• CBOE Volatility
• High/Low Sentiment Ratio
• Bullish Percentage
• RSI
• Put/Call Ratio
• MACD (Moving Average Convergence Divergence)

5. Market sentiments - Indicators
• CBOE Volatility
– VIX - the fear index, is driven by option prices.
– Options = insurance contracts
– An increase in the VIX means an increased need
for insurance in the market. If traders feel the
need for more risk, it is a sign of increased price
movement.

7. Market sentiments - Indicators
• High/Low Sentiment Ratio
– The high/low sentiment indicator compares the
number of stocks making 52-day highs to the
number of stocks making 52-day lows.
– When stock prices are trading at their lows (highs)
across the board, it means traders have a bearish
(bullish) market sentiment.

8. Market sentiments - Indicators
• Bullish Percentage
– measures the number of stocks with bullish
patterns
– Normal markets have a bullish percentage of
around 50%. When the measure is 80% or higher,
it means market sentiment is extremely bullish
(overbought) -> SELL
– Likewise, when the number is 20% or below, is it is
a bearish market sentiment indicative or market
that is oversold -> BUY

9. Market sentiments - Indicators
• RSI – Relative Strength Index
– a momentum indicator that compares the number
of recent days when a stock closed at a higher
price than the previous session, compared to the
number of recent days when the stock price
declined.
– RSI > 70 ---> overbought
– RSI < 30 ---> oversold

10. Websim AND Semtiments
• Avaiable data

11. Websim AND Sentiments
• IDEA 1: Bullish = Long, Bearish = Short
• Expression 1:
rank[(avg(bull)-avg(bear))/(avg(bull)-avg(bear))]

14. Websim AND Sentiments
• IDEA 2: Current/LongTerm
– Ratio represents a trend
• Expression 2:
grouprank[subindustry,data/avg(data)]

17. Websim AND Sentiments
• IDEA 3: Bull/Bear + Volume
– Sentiments + high volume = stronger reaction
• Expression 3:
grouprank[market,data/avg(data)]

20. Websim AND Sentiments
• IDEA 4: Sentiments over time period
– Sentiments over time period with high chances of
reversion
• Expression 4:
-(ts_rank(data,window1)+…+ts_rank(data,windowN)

23. Websim AND Sentiments
• IDEA 5: Sentiment Mood
– Positive mood  LONG, Negative mood  SHORT
• Expression 5:
mood>0?1:mood<0?-1:rank(sum(vwap,5)/5-vwap)

27. Idea 1:
rank((sum(snt_bullish,200)/200-
sum(snt_bearish,200)/200)/(sum(snt_bullish,200)/200+sum(snt_bearish,2
00)))
Idea 2:
grouprank(subindustry,snt_social_value/(sum(snt_social_value,60)/60))
Idea 3:
grouprank(market,(sum(snt_bullish,60)/60)/(sum(snt_bearish,60)/60))*ts_ra
nk(snt_social_volume,240)
Idea 4:
-
(ts_rank(snt_ratio,5)+ts_rank(snt_ratio,20)+ts_rank(snt_ratio,60)+ts_rank(
snt_ratio,120)+ts_rank(snt_ratio,240))
Idea 5:
snt_value>0?1:snt_value<0?-1:rank(sum(vwap,5)/5-vwap)