our Alpha API Brochure

NewsHedge ALPHA API: Actionable Signals for Algorithmic Trading
New technologies. New catalysts. A whole new tool for capturing alpha.
Problem.
Machine-readable technologies have forever changed the way stocks trade.
Individual asset prices are increasingly more susceptible to news, rumors, TV
mentions, and Twitter posts. So what does it all mean? It means that this new
trading environment requires a new approach. And new tools for capturing alpha.
Solution.
To help you react to these opportunities, we’ve developed the NewsHedge ALPHA
API, a self-learning, self-adjusting market-scanning technology that uncovers
notable price and volume velocities happening within individual assets, including
velocities occurring instantly (milliseconds), or over a few minutes.
2
How It Works.
Leveraging powerful algorithms and direct access exchange feeds, NewsHedge continuously tracks
and measures tick data for generating trading behavior metrics on over 6,000 individual assets.
The NewsHedge analysis engine uses this complex grid of historical trade metrics and compares it to
how an asset is currently trading in real time.
By comparing how an asset has statistically traded in the past to how it’s currently trading,
NewsHedge is able to earmark anything notable and unusual—allowing you to capture opportunities
and manage risks in a systematic, probable manner.
REAL-TIME TICK DATA
HISTORICAL TICK DATA
6000+ individual assets
Milliseconds through 30 days
3
Why You Need It.
Because you need smart, actionable
data to successfully power:
• Algorithmic trading
• Quantitative models
• Big-Data solutions
• Trend-analysis models
• Risk management systems
Because you can create deep learning strategies
using NewsHedge in conjunction with:
• Machine-readable news
• Social sentiment
• Twitter velocity data
• Chart indicators / Market internals
• Proprietary data sets
4
NewsHedge In Action.
On October 14, 2015, a typical trading day, NewsHedge generated a total of 65 events.
44 (67%) of these events were tied to market-moving news.
Results by Catalysts:
25 Intraday, market-moving news (8 events moved greater than 6% by EOD)
21 Unusual trading behavior, but no known catalyst
7 Pre-market news
6 After-hour news from prior trading day (carryover)
5 Trading halts
1 Trading halt, news pending
Click HERE to download the complete case study.
Click HERE to visit our daily case studies blog.
5
Which Assets Does NewsHedge Cover?
NewsHedge tracks individual assets which trade at or above $1.90 intraday, with a
minimum daily trading volume of 320,000 shares.
NewsHedge is currently covering:
NASDAQ: 2,343
NYSE: 2,455
AMEX: 1,098
For the full comprehensive list of Component Sectors, U.S. Equity Sectors, Country
Indexes, and Foreign Sector Indices, please visit www.newshedge.com/assets.
Note: Coverage can be customized to meet even the strictest of demands.
6
Available Data Fields.
NewsHedge provides Identifiers for mapping securities, Financials to support financial
modeling, and unique exchange level trade data for generating accurate, probable
trading decisions.
Identifiers:
Asset name
Ticker
BSYM entity ID
BSYM composite ID
Industry
Sector
Financials:
Market cap
Average daily volume
Shares float
% owned by insiders
% owned by institutions
Current short interest
Short interest total
Short interest prior total
Short percent change
Days to cover ratio
NewsHedge:
Move direction
Move strength
Trigger price
Trigger timestamp
Recent trade volume
Recent trade count
Recent dark volume
Trading halt
7
Using NewsHedge Data Fields.
Move direction: Describes the price direction as “up” or
“down”. This can be used as a directional trigger.
Move strength: “Jogging”, “Running”, or “Spiking” are terms
used to describe the proprietary measurements of speed and
velocity of the detected price change. This can be used as a
rush trigger, filter mechanism, directional trigger, or decision
maker.
Jogging - Medium price move within a 5-minute period.
Running - High price move within a 2-minute period.
Spiking - Drastic price move happening instantaneously,
or within a 40-second time period.
Trigger price: Price which triggered the alert. This can be used
as a reference point.
Trigger timestamp: Unix timestamp when the Trigger price
was captured. This can be used as a reference point.
Recent trade volume: Total trade volume from the 10 seconds
that preceded the alert. This can be used as a filter mechanism
or decision maker.
Recent trade count: Number of trades executed in the 10
seconds that preceded the alert. Compare this to recent trade
volume and/or recent dark volume to enhance filtering and
decision making.
Recent dark volume: Quantity of “recent trade volume”
that was reported to the Nasdaq and NYSE Trade
Reporting Facilities (TRF). This can be used as a filter
mechanism or decision maker to react upon dark pool
trades and block orders.
Trading halt: Exchange specific messages for “status” and
“reason”. This can be used as a rush trigger, filter mechanism,
directional trigger, or decision maker.
8
Intraday Momentum Strategy: S&P 500
This backtest model examines the ability to profit on trade direction once a “jogging” or
“running” price velocity alert is generated. We started with a beginning balance of $1M,
used $80K (rounded) per trade, and leveraged position limits which never exceeded 95%
of the total portfolio value. Commissions are calculated at $0.003 per share and are
included in the P&L. No overnight holdings.
Time Horizon: January 01, 2014 - February 08, 2016
Benchmark: S&P 500 index (SPY)
Buy if:
Move direction = up and
Move strength = jogging or running and
Recent trade volume >= 12,480 and
Recent trade count >= 6 and
Recent dark volume < 4,099 40% and
Bid price > Trigger price and
Current Time - Trigger timestamp < 5 minutes and
(No trade has already been triggered by this alert)
Trading Universe: S&P 500 individual stocks (rebalanced)
Trade Time Conditions: On at 9:46:00am. Off at 3:48:00pm (EST)
Sell if:
Move direction = down and
Move strength = jogging or running and
Recent trade volume >= 22,480 and
Recent trade count >= 15 and
Recent dark volume < 10,099 and
Ask price < Trigger price and
Current Time - Trigger timestamp < 5 minutes and
(No trade has already been triggered by this alert)
Close if:
Position achieves
3.35% gain or
Position goes
negative 1.65%, or
Position is still open
5-min prior to close.
9
Intraday Momentum Strategy: S&P 500
continued.
Summary:
Total Alerts: 1,156
Total Trades: 584
Total Profit/Loss: $247,791
Winning Trades: 303
Losing Trades: 281
Ratio win/loss: 1.69
% Winning Trades: 51.88%
% Losing Trades: 48.12%
Avg. Winning Trade: $2,003
Avg. Losing Trade: $1,278
Total Returns: 24.78%
Benchmark Returns: 0.91%
Credits: Jason Stone & Jeff Pate - Trinity Christian College
Max Drawdown: ($13,940)
Alpha: 0.96
Beta: 0.48
Sharpe: 2.97
Sortino: 5.12
Volatility: 0.18
10
Intraday Mean Reversion Strategy: Nasdaq 100
This backtest model examines the ability to fade price overreactions—often brought on by
news headlines—using “running” or “spiking” price velocity data as the main trigger. We
started with a beginning balance of $1M, used $80,000 (rounded) per trade, and leveraged
position limits which never exceeded 95% of the total portfolio value. Commissions are
calculated at $0.003 per share and are included in the P&L. No overnight holdings.
Time Horizon: January 01, 2014 - February 08, 2016
Benchmark: Nasdaq 100 index (QQQ)
Buy if:
Move direction = down and
Move strength = running or spiking and
Recent trade volume >= 33,020 and
Recent trade count >= 28 and
Recent dark volume < 17,099 and
Bid price > Trigger price and
Current Time - Trigger timestamp < 36 seconds and
(No trade has already been triggered by this alert)
Trading Universe: Nasdaq 100 individual stocks (rebalanced)
Trade Time Conditions: On at 9:46:00am. Off at 3:48:00pm (EST)
Sell if:
Move direction = up and
Move strength = running or spiking and
Recent trade volume >= 26,020 and
Recent trade count >= 23 and
Recent dark volume < 14,299 and
Ask price < Trigger_price and
Current Time - Trigger timestamp < 36 seconds and
(No trade has already been triggered by this alert)
Close if:
Position achieves
2.90% gain or
Position goes
negative 1.75%, or
Position is still open
5-min prior to close.
11
Intraday Mean Reversion Strategy: Nasdaq 100
continued.
Summary:
Total Alerts: 1,005
Total Trades: 884
Total Profit/Loss: $256,961
Winning Trades: 417
Losing Trades: 467
Ratio win/loss: 1.68
% Winning Trades: 47.17%
% Losing Trades: 52.83%
Avg. Winning Trade: $2,174
Avg. Losing Trade: $1,391
Total Returns: 25.70%
Benchmark Returns: 10.80%
Credits: Jason Stone & Jeff Pate - Trinity Christian College
Max Drawdown: ($18,911)
Alpha: 0.71
Beta: 0.72
Sharpe: 2.15
Sortino: 4.89
Volatility: 0.27
12
NewsHedge Delivers Speed and Redundancy.
In Your Preferred Language.
NewsHedge uses the famously fast and accessible ØMQ library for network
communications. This library supports a huge number of programming languages and is
well known for handling the boilerplate and edge-cases common in networked
messaging. (It’s often called “ZeroMQ” for googling purposes)
• Available in C, C++, Objective C, Python, Java, .NET, Ruby, PHP, and more
• Fast, direct TCP connection bypassing web latencies
• Separate server push and search query protocols
• Architecture independent
• True, real-time (milliseconds) intra-minute reporting
• Fully customizable parameters to suit your specific needs
13
Who Is NewsHedge?
NewsHedge was founded in 2012 out of our own need for real-time U.S. equity risk
solutions.
Since then, NewsHedge has grown into a diverse team of experienced market
professionals who have been quietly helping numerous systematic trading firms react
to market-moving events. We’ve also invented new methods for distributing financial
information—see U.S. Patent No. 9,135,662.
Today, our solutions help power some of the world's top quant groups, prop firms and
hedge funds. We’re also beginning to form licensing partnerships with some of today’s
most respected financial applications so they can distribute our automated marketmoving alerts.
14
Management.
Kevin Evenhouse - Founder, CEO
https://www.linkedin.com/in/kevinevenhouse
Prior to founding NewsHedge, Kevin owned a capital-management practice with trade operations
conducted on the CME Group’s exchange floor. He’s successfully traded a wide range of financial
instruments, developed numerous automated trading strategies, and patented new methods for
disseminating financial information. Kevin’s knowledge, passion, and imagination for finding
solutions to the financial industry’s challenges are the key driving forces behind NewsHedge.
Drew Dormann - Co-Founder, CTO
https://www.linkedin.com/in/drewdormann
Drew brings over 17 years of diverse programming experience to the NewsHedge organization. He’s
worked on numerous performance-critical applications, and his background includes building
games for Microsoft, Sony, and Midway Games, and most recently developing complex trading
systems for companies such as TradeLink and Jump Trading. He’s one of only 255 Gold Badge
holders for C++ through stackoverflow.com.
15
Legal Disclaimer.
THE MATERIALS IN THIS PRESENTATION ARE FOR INFORMATIONAL PURPOSES ONLY. THESE MATERIALS ARE PROVIDED “AS IS”
WITHOUT ANY EXPRESS OR IMPLIED WARRANTY OF ANY KIND INCLUDING, WITHOUT LIMITATION, WARRANTIES OF
MERCHANTABILITY, OWNERSHIP, NON-INFRINGEMENT OF INTELLECTUAL PROPERTY, OR OTHER HARMFUL COMPONENTS OR
FITNESS FOR ANY PARTICULAR PURPOSE, INCLUDING ANY WARRANTY FOR THE USE OR THE RESULTS OF THE USE OF SERVICES
OR PRODUCTS WITH RESPECT TO THEIR CORRECTNESS, ACCURACY, COMPLETENESS, RELIABILITY, PERFORMANCE, OR
CONTINUED AVAILABILITY.
NEITHER ALGO INNOVATIONS LLC. (dba NewsHedge) NOR ITS THIRD PARTY PROVIDERS SHALL BE RESPONSIBLE FOR INVESTMENT
DECISIONS, DAMAGES, OR OTHER LOSSES RESULTING FROM USE OF THIS INFORMATION.
LIMITATION OF LIABILITY: NEITHER ALGO INNOVATION LLC. (dba NewsHedge) NOR ITS THIRD PARTY PROVIDERS NOR ANY PERSON
THROUGH WHOM ALGO INNOVATIONS LLC. (dba NewsHedge) MAKES THIS INFORMATION AVAILABLE SHALL BE LIABLE FOR ANY
DAMAGES OF ANY KIND ARISING FROM OR RELATING TO THESE TERMS, THE INFORMATION PROVIDED, OR THE USE OF, OR
RELIANCE ON, ALGO INNOVATIONS LLC. (dba NewsHedge) DATA PRODUCTS, WHETHER IN CONTRACT OR TORT OR OTHERWISE.
16
Get In Touch.
Enough about us, let’s talk.
[email protected]
Click HERE to watch NewsHedge intro video.
Click HERE to read our recent press release.
Click HERE to learn about our intellectual property.
17