ftd persistence signal
What it checks
When a stock fails to deliver shares for several days in a row, persistent short pressure tends to keep the price drifting down for another 1-3 weeks.
Mechanism
Short-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.
Signal rule
consecutive sec_fail_to_deliver_daily streak >= 3 (or 5, 7) -> SHORT on T+1 of streak threshold, hold 5/10/20d.
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
- -1-3% over 20d (informed-short proxy)
- Paper window
- T+1 to T+20d
Boehmer-Jones-Zhang 2008 reports daily-short informativeness; informed-short persistence proxy targets -1-3% over 20d.
Related families
ftd threshold listShort-FlowThe 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.
ftd concentrated squeeze longShort pressureWhen 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.
borrow rate spikeShort-FlowWhen the cost to borrow a stock spikes, it signals either (a) shorts have HIGH conviction despite paying premium — bearish continuation — or (b) utilization is hitting recall risk — bullish squeeze setup. Two readings: Z-SCORE BREAKOUT (borrow fee z > +2 vs 60d baseline → short the stock) and SQUEEZE TRIGGER (borrow fee at extreme AND price reverses up → long the squeeze). Sourced from `stock_borrow_rates` (iborrowdesk daily, ~1y depth).
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