Price & Market BehaviorCore researchInactiveNew

FTD With Borrow Rate Spike

Updated dailyData needs: lowshort only

2008

Joint signal extending #25 borrow_rate_spike and Boehmer-Jones-Zhang 2008 JF — triangulating two independent short-pressure proxies (borrow-rate z + FTD presence).

Read the paper →

In plain terms

When the cost to borrow a stock spikes AND the stock is failing to deliver shares at the same time, both independent stress signals point to continued downside.

How it works

Borrow-rate spikes signal that shorts are paying up to maintain conviction; FTDs confirm that supply pressure is hitting the settlement system. The joint fire is rarer than either signal alone and historically associated with sharper declines in the 10-20d horizon.

Live results

0 times picked on its own · 48 times inside a blend (46 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 48 such blended picks (46 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)

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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.
Stock borrow rates
Daily borrow-fee curve from prime-broker feeds.

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 observed borrow fee spikePrice & Market Behavior

Published SEC FTD and observed borrow fee spike

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