Price & Market BehaviorExtended setInactiveNew

FTD Anomaly Short

Updated dailyData needs: lowshort only

2014

Original hypothesis (no academic source). Previously mis-cited to Fotak, Raman & Yadav (2014), Journal of Financial Economics 114, 493-516, a market-quality study finding greater FTDs improve liquidity and pricing efficiency; it documents no negative post-FTD drift and supports no part of this trading rule.

Citation only, paper link pending.

In plain terms

When the rolling-month average of failures-to-deliver on a stock hits the top 10% of its own history, informed shorts are aggressively in. Short the stock for the next 4 weeks.

How it works

Internally-motivated hypothesis: persistent high failures-to-deliver (top decile of trailing-year per-ticker FTD distribution) may reflect aggressive informed shorts that cannot locate borrow but commit anyway because conviction is high; short the sustained anomaly. No academic magnitude or alpha claim.

Live results

4 times picked on its own · 107 times inside a blend (101 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 107 such blended picks (101 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
SEC fail to deliver daily
SEC fail-to-deliver daily ZIP archives normalized by settlement date and ticker.

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

Example tickers where this is likely to fire

GME AMC BBBY MULN FFIE

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Published SEC outstanding FTD anomalyPrice & Market Behavior

Published SEC outstanding FTD anomaly

Explore FTD Anomaly Short on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 695 families