Is your "winning" strategy so different from other social data / sentiment analysis approaches? There is some novelty with how you weigh the sentiments (based on how much of an insider or expert they are) but I am sure existing trading strategies weren't just taking a dumb average of a twitter firehose either. Shouldn't it be easy for some large firm to replicate your approach and make the alpha disappear?
lettergram|6 years ago
First, I don't think alpha ever fully disappears.
Second, after speaking with twenty or so firms very few are using sentiment directly. Those that do, I suspect don't take the additional steps to build complex NLP based systems and weight insiders/experts. Even if you weight experts, the methods for doing so are also complicated (cross check against LinkedIn should be easy enough, but also limits information).
Anyway, I personally haven't seen much difference in the back testing.