Price & Market BehaviorExtended setInactiveNew

FTD Concentrated Squeeze Long

Updated dailyData needs: lowlong only

2024

Extends Diebold-Yilmaz spillover framework + Beschwitz-Honkanen-Schmidt 2024 JFE short-squeeze; FTD value z-tail + Reg-SHO threshold-list overlap as a forced-buy-in setup.

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In plain terms

When a stock is on the SEC's failure-to-deliver list and the daily fail value spikes, the forced-buy-in mechanism often triggers a short squeeze.

How it works

When daily FTD value z-score >= 2.5 sigma over a 60d baseline AND the ticker is concurrently on the SEC Reg SHO threshold list, the short side is saturated and the Reg-SHO forced-buy-in mechanism is about to release. Contrarian LONG on the squeeze setup.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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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.
SEC reg sho threshold
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

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

Related families

Published SEC FTD and Reg SHO concentrationPrice & Market Behavior

Published SEC FTD and Reg SHO concentration

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