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The aim of this paper is to introduce a two-step trading algorithm, named TI-SiSS. In the first step, using some technical analysis indicators and the two NLP-based metrics (namely Sentiment and Popularity) provided by FinScience and based on relevant news spread on social media, we construct a new index, named Trend Indicator. We exploit two well-known supervised machine learning methods for the newly introduced index: Extreme Gradient Boosting and Light Gradient Boosting Machine. The Trend Indicator, computed for each stock in our dataset, is able to distinguish three trend directions (upward/neutral/downward). Combining the Trend Indicator with other technical analysis indexes, we determine automated rules for buy/sell signals. We test our procedure on a dataset composed of 527 stocks belonging to American and European markets adequately discussed in the news.
Frattini et al. (2022) studied this question.