CO-S-01-01

Emotion Momentum Z-Score， EMO Z-Score

Basic concept:

Characterizing the relative strength and deviation of market sentiment within a unit of time through standardized methods, measuring the abnormality of "sentiment momentum" to capture potential short-term overheating or panic states in the market.

1. Calculation Logic and Formulas

Emotion Momentum is the difference between the positive emotion ratio and the negative emotion ratio during the same time period, with the formula:

Calculate the mean and standard deviation within the sliding window W (e.g., the last 30 observations):

Get Z-Score：

This indicator is the Emotion Momentum Z-Score.

2. Indicator Explanation

Interval	Market Status	Emotional Characteristics
( Z_t ≥ +2 )	Extreme Optimism	Emotions are high and concentrated, with an abnormally large increase in positive discussions
( +1 ≤ Z_t < +2 )	Emotion Amplification Stage	Emotions are continuously improving, with investor confidence strengthening
( -1 < Z_t < +1 )	Neutral Emotion Zone	Market sentiment is stable, with no significant deviation
( -2 < Z_t ≤ -1 )	Emotion Deterioration Stage	Negative emotions are gradually accumulating, leading to a decline in market confidence
( Z_t ≤ -2 )	Extreme Panic	Emotions are rapidly declining, with discussions extremely pessimistic

3. Additional Notes

Time-Scale Adaptability:

• In short-term cycles (e.g., 15m–1H), the Z-score can be used to detect instantaneous sentiment overheating or panic.

• In medium-term cycles (e.g., 1D), it helps identify phase sentiment trends and potential reversal signals.

Strategy Application Guidelines:

• When the Z-score reaches extreme levels (|Z| ≥ 2) and aligns with the price movement direction, it can be interpreted as a sentiment resonance signal.

• When the Z-score diverges from the price trend (e.g., extreme negative sentiment while the price remains stable), it may indicate a potential reversal opportunity.

• The indicator can be used to construct a Sentiment Momentum Index or serve as a social factor within a multi-factor model.

Official Example

Parameter Recommendations

Parameters	Default value	Explanation
Sliding Window W	30	Smooth historical sentiment momentum distribution
Update Frequency	In sync with emotional data frequency（such as 15min、1H、1D）	Maintain synchronicity
Anomaly Threshold	±2σ	Used for identifying extreme states

Example illustration