In the process of building a sentiment and narrative momentum strategy

Crypto is very narrative driven compared to other markets. In many setups attention moves first and price follows after.

As such, I’ve been experimenting with sentiment-driven trading strategies recently.

Ran a backtest across ~300 tokens using social sentiment and narrative momentum signals.

The key here is narrative momentum!

Assumptions:

• risk 10% per trade
• average hold ~10 hours
• ~1,160 trades

Results:

• +421% total return
• 58% win rate
• max drawdown −5.9%

Buy-and-hold during the same period returned −13%.

Controlled for look-ahead bias and overfitting.

I'm keen to share more of my progress as we go, depending on if people want to see it 🙂

I don't see many sentiment based strats around here – has anyone else here experimented with sentiment signals or the like?