finra daily short volume spike
What it checks
When daily short volume spikes on a stock that is already in a downtrend, that is informed shorts piling on. We short alongside for 1-4 weeks.
Mechanism
Informed shorts execute on days with elevated short_volume / total_volume; the next 20-day return on top-decile-spike stocks is -1.16% vs +0.18% bottom-decile.
Signal rule
FINRA short_pct 60d z>1.0/1.5/2.0 + own-name 60d downtrend โ SHORT 5/10/21d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
finra_short_volumeWorker data table, see services/worker schema.
Expected edge
- Paper alpha
- -1.16% over 20d (top decile)
- Paper window
- 2000-2004 (Boehmer-Jones-Zhang)
-1.16% over 20d on top-decile (Boehmer-Jones-Zhang 2008).
Related families
short interest ratio driftMicrostructureStocks in the top quintile of short interest earn -7%/yr on the short side. The signal is the LEVEL of short interest, not its change โ persistently high short interest is an informed-bear signal that the marginal long-only investor is overpaying.
borrow rate level shortMicrostructureStocks that are expensive-to-borrow earn -3.7%/month abnormal return โ the shorting premium of Drechsler-Drechsler 2014. The expensive borrow signals binding short-sale constraints; the costlier the borrow, the more the bearish belief is kept out of price, leaving the optimist tail to dominate.
reg sho threshold entry shortMicrostructureEntry to the SEC Reg SHO Threshold Security List signals persistent FTDs (5+ consecutive days with FTDs >=10k shares AND >=0.5% of float). DLW 2009 show negative drift over the 5-10 days post-inclusion BEFORE the Reg-SHO close-out mechanism starts forcing covers.
Explore finra daily short volume spike on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.