days to cover risk premium short
What it checks
Hong-Li-Ni-Scheinkman (2015): days-to-cover (SI / ADV) measures the cost of unwinding a crowded short; high-DTC names earn LOW returns (~1.2%/mo on the spread), orthogonal to raw short-interest level.
Mechanism
Hong-Li-Ni-Scheinkman (2015): days-to-cover (SI / ADV) measures the cost of unwinding a crowded short; high-DTC names earn LOW returns (~1.2%/mo on the spread), orthogonal to raw short-interest level. Build DTC from trailing-21d FINRA short_pct numerator over trailing-21d dollar-volume denominator, rank vs own 252d history, SHORT top-decile-DTC (hold 21-63d).
Signal rule
Hong-Li-Ni-Scheinkman (2015): days-to-cover (SI / ADV) measures the cost of unwinding a crowded short; high-DTC names earn LOW returns (~1.2%/mo on the spread), orthogonal to raw short-interest level. Build DTC from trai
Data dependencies
finra_short_volumeWorker data table, see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper window
- Modern daily equity data
risk-premium premium; decay risk 3/5.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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See which tickers this family is currently firing on, with live signals and rankings.