Short-Flow#86tier 2live in productionNew

`crowded long unwind`

cadence: Dailydata: mediumshort onlylong short

2020

#86 crowded_long_unwind — mirror of short_squeeze on the long side; Lou-Polk 2020 'crowdedness'.

Mechanism

Heavy institutional ownership (top 5% n_filers in 13F) + recent vol expansion + negative price trend + crowded sector → setup for forced-deleveraging unwind. Mirror image of short-squeeze: too many longs holding the bag, first selloff cascades. Short signal.

Signal rule

(n_filers in top 5%) AND (vol_30d / vol_90d > 1.3) AND (drawdown_90d < -10%); short, hold to mean-rev or stop-loss.

Data dependencies

sec_13f_aggregate
Worker data table — see services/worker schema.
daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Asymmetric — large but rare payoffs; pairs well with short_squeeze_meta as mirror.

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Related families

short squeeze metaMeta

Meta-signal building on three components we already ingest: • `stock_borrow_rates` (iborrowdesk / IBKR) → borrow-rate percentile. • `sec_reg_sho_threshold` → Reg-SHO threshold-list membership. • `wikipedia_pageviews` → retail attention z-score (alpha #10 data

smart money best ideasNetwork-Effects

Cohen, Polk & Silli (2010), "Best Ideas." https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1364827 Frazzini, Kabiller & Pedersen (2018), "Buffett's Alpha."

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crowded long unwind