ftd anomaly short
What it checks
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.
Mechanism
Persistent high failures-to-deliver (top decile of trailing-year per-ticker FTD distribution) are an informed-short signal — aggressive shorts cannot locate borrow but commit anyway because conviction is high. FRY 2014 document -1.5% drift over 20 days post-anomaly.
Signal rule
21-day rolling mean of sec_fail_to_deliver_daily.quantity in top 90th/95th pctl of trailing 252d own-history (T+1) -> SHORT for 20 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_fail_to_deliver_dailySEC fail-to-deliver daily ZIP archives normalized by settlement date and ticker.
Expected edge
- Paper alpha
- -1.5% over 20d
- Paper window
- T+1 to T+20d
-1.5% over 20d on top-decile sustained FTD anomalies (FRY 2014).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
ftd persistence signalMicrostructureShort-sellers are informed traders; persistent FTD pressure (consecutive settlement days with positive daily fails) screens out routine market-making and predicts continued underperformance. Streak length proxies depth of short conviction.
sec ftd fail pressureMicrostructureExtreme fails-to-deliver spikes can indicate crowded short pressure and forced-cover squeeze risk. This variant trades the squeeze-pressure side.
ftd threshold listMicrostructureThe SEC's Threshold Security List names securities with 5+ consecutive settlement days of failures-to-deliver ≥ 10,000 shares AND ≥ 0.5% of shares outstanding. Inclusion signals persistent FTD pressure (aggressive shorts that can't locate borrow) and triggers Reg SHO close-out within 13 settlement days — historically tied to above-average squeeze risk 1-4 weeks post-inclusion. We trade two variants: continuation SHORT on first-time inclusion with weak price action, squeeze LONG on sustained inclusion + reversal cue.
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