Published SEC FTD and Reg SHO concentration
In plain terms
Published SEC FTD and Reg SHO concentration
How it works
Internal FTD/Reg SHO confluence hypothesis; cited spillover/squeeze studies do not validate this exact rule.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Spy prices
A data feed this strategy reads, refreshed on its normal schedule.
- SEC fail to deliver daily admissible
SEC fail-to-deliver daily ZIP archives normalized by settlement date and ticker.
- Security identity history admissible
A data feed this strategy reads, refreshed on its normal schedule.
- Reg sho capture manifests
A data feed this strategy reads, refreshed on its normal schedule.
- Reg sho threshold observations
A data feed this strategy reads, refreshed on its normal schedule.
- Reg sho security identity observations admissible
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
Explore Published SEC FTD and Reg SHO concentration on alphactor.ai
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