KILLED · noise + bots
Hypothesis
Aggregate sentiment polarity from crypto X posts (transformer classifier) predicts short-horizon returns.
Math: net sentiment
$$ S_t = \frac{1}{N_t}\sum_{i=1}^{N_t}\,\text{polarity}(\text{post}_i)\in[-1,1] $$
Method
FinBERT-style polarity on filtered cashtag streams, hourly aggregate vs next-hour return. Bot/spam filtering attempted.
Results
| Information coefficient | ~0.01 |
| Bot / shill contamination | severe |
| Endogeneity (sentiment = price) | high |
Sentiment is dominated by bots, shills, and reflexivity (sentiment is mostly a lagged function of price). After de-botting, IC ~0.01, indistinguishable from zero. The clean signal, if any, is buried under manufactured noise.
Social sentiment in crypto is an adversarial, reflexive dataset, much of it is paid or automated, and the rest just echoes the price. Treat it as noise until proven otherwise.