SPY Daily Directional Indicator (DDI)
DDI Definition – iSENTIUM offers its proprietary Daily Directional Indicators (DDIs) on financial
instruments including stocks and ETFs where sentiment tends to be a strong leading indicator of price
movement. The DDI makes a daily binary forecast indicating whether a ticker’s price is likely to increase
or decrease.
General Implementation of DDIs – An Open-to-Close (OTC) strategy is used to enter a position at
9:31AM each day and exit it at 3:41PM the same day.
Performance – From January 2014 through October 2015, OTC strategy on SPY DDI has returned
49.7% with a Sharpe of 2.4 versus SPY performance of 16.4% with a 0.7 Sharpe Ratio. YTD, through
October 2015, the same strategy returned 15.6% with a Sharpe Ratio of 1.7 versus SPY performance of
2.6% and a 0.3 Sharpe Ratio. MTD, October 2015, the same strategy returned 4.9%.
Clients – Clients include Global Macro funds (both discretionary and systematic), Statistical Arbitrage
funds, CTAs, Quantitative funds, Electronic Market Makers, and Delta One trading desks on the sell side.
Delivery Mechanism – Clients can consume the daily signal (+1 or -1) over a secure web link or through
an API call.
Typical Client Implementation – Mostly proprietary – in general, DDIs can serve as a standalone signal
(intraday through OTC and interday through OTO implementation), a factor in a multi-factor model, or an
orthogonal signal to an already existing signal.
Price – $15,000 per month for one symbol. Price does not scale linearly with number of symbols in a
basket.
Contract Duration – Terms ranging from monthly to 12 months depending on client preference.
About iSentium – Using a patented Natural Language Processing technology developed over 80+ man
years, iSentium is a market leader in accurately extracting sentiment from social media. Each day, on
average, iSentium is extracting over a million tweets pertaining to US stocks and ETFs from Twitter and
quantifying the sentiment on each tweet in real time. Our team has a diversified mix of skills ranging from
big data, signal processing, computational linguistics and capital markets (both buy and sell side).
iSENTIUM, LLC is not an investment advisor, broker or dealer and therefore does not participate in the offer, sale or
distribution of securities, nor does it provide any investment advice.
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