Extracting Bitcoin price signals from Reddit posts

Our research leverages NLP techniques applied to posts from Reddit's r/Bitcoin subreddit to build a signal for predicting forward returns of the Bitcoin price (BTC).

Signal Creation Pipeline

The notebook sentiment_signal.ipynb contains the full pipeline from data cleaning to signal creation and performance metrics.

Contains the signal creation pipeline including

• loading and pre-processing of reddit corpus
• computation or checkpoint loading of sentiment scores using RoBERTa
• filtering of topics using LDA
• creation of the sentiment signal
• computation of baseline strategies
• creation of lagged hourly bitcoin return time series
• performance plots of cumulative realization

Contains experiments including

• can the feature num_comments improve the signal?
• is $\beta$ stable over time?

Exploration and Experiments

To produce the streamlined pipeline notebook, we conducted research and experiments in the notebooks starting with explore_

• explore_benchmark_signals develops and tests the RSI and MACO benchmark signals
• explore_bitcoin_price explores the BTC price in 2022 and creates hourly dataframe
• explore_ema_multivariate_signal develops and tests the signal based on an exponential smoothing of the sentiment score
• explore_lda_topics applies an LDA topic model to discover the trading topic and produces the file assets/topic_keywords.csv
• explore_reddit_corpus produces summary statistics for the reddit corpus and explores first sentiment techniques
• explore_sentiment_analysis tests different techniques for topic filtering and sentiment analysis, including the production of human evaluation tables
• explore_sentiment_gpt4 uses GPT4 to produce sentiment labels in order to compare them with RoBERTa and human performance

Folders

• The /modules folder contains functionality derived from the exploration file.
• The /assets folder contains flatfiles derived from the exploration notebooks.
• The /data_2022 folder contains reddit and bitcoin data for 2022
• The /human_eval folder contains files with reddit posts with human and LLM sentiment label.

Installation

pip install -r requirements.txt