Using a very standard, and in fact somewhat dated sentiment analyzer, we are regularly able to garner annualized returns over twice that percentage, and in a manner that highlights two of the better design decisions that Zhang and Skiena (2010) made, viz., (1) their decision to trade based upon numerical SVM scores rather than upon discrete positive or negative sentiment classes, and (2) their decision to go long (resp., short) in the n best-(worst-) ranking securities rather than to treat all positive (negative) securities equally.
the oracle strategy computes the value of the stock h days into the future.