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Earlier, I had tried to build a model that could predict longer term returns, based on quarterly and annual financial statement metrics (along with other features I pulled in like macro). Learned a lot, and although the r-square was surprisingly positive, I just couldn't get behind the picks it was picking.
I changed things up 2H 2025, and built a new model that uses news sentiment. I added momentum and macro features to it (vix, inflation, et al), and momentum just took over and dominated the influence. But, I decided the cocktail of sentiment+momentum+macro was worth trying out. So far with paper trading, I have beaten SPY just barely, as the model selects off of return prediction using 1d, 3d, and 5d predicted returns.
I changed the model today, to use relative cross-sectional ranking, instead of predicted return. This is performing better in head-to-head, except for one particular day when the market was down. I may need to add a circuit-breaker to this, but I am going to plug it in and give it a shot for the next 2 weeks to see if indeed, i can push into a positive alpha above SPY returns.