Hands-On Machine Learning for Algorithmic Trading

Comparison with TextBlob sentiment scores

We also obtain TextBlob sentiment scores for tweets and note (see the following left-hand diagram) that positive test tweets receive a significantly higher sentiment estimate. We then use the MultinomialNB model and the .predict_proba() method to compute predicted probabilities and compare both models using the respective Area Under the Curve (see the following right-hand diagram):

TextBlob sentiment scores

The Naive Bayes model outperforms TextBlob in this case.