A project attempting to create a profitable investment strategy for Bitcoin based on h2o model and sentiment analysis on social media and specialized forums data.

The project was conducted in one week by Eric Brea-Garcia, Daniel Wientjens, Diederik Ketellapper and Viktor Malesevic.

The different data sources include reddit data, bitcointalk.org data, tweets from the top 100 bitcoin influencers, google trends data, and finally poloniex data for the prices and volume of bitcoin exchange on the BTC/USD market.

The project lead to a model reaching an AUC of 66.4% on the predictions of bitcoin prices going up or down. The magnitude of the returns have not been considered and shall be include in future research in order to give recommendations on bet sizing.

Two strategies using the predictions of our model on the period of time 17/07/2018 to 28/04/2018 are compared to a Long Only position on Bitcoin.