Price & Market BehaviorExtended setexperimental liveNew

Reg Sho Threshold Entry Short

Updated eventData needs: lowshort only

2015

Autore, D.M., Boulton, T.J., Braga-Alves, M.V. (2015). "Failures to Deliver, Short Sale Constraints, and Stock Overvaluation." The Financial Review, 50(2), 143-172.

Read the paper →

In plain terms

When a stock first lands on the SEC's Reg SHO Threshold List after being off it for at least a week, short it for the next 1-2 weeks before the forced-buy-in mechanism kicks in.

How it works

Entry to the SEC Reg SHO Threshold Security List signals persistent FTDs (5+ consecutive settlement days with FTDs >=10k shares AND >=0.5% of shares outstanding). Autore-Boulton-Braga-Alves 2015 show threshold stocks are significantly overvalued at inclusion and subsequently reverse (negative abnormal returns), strongest where short-sale constraints bind; the Rule-203 close-out mechanism later forces covers. This family shorts the post-inclusion reversal window.

Live results

0 times picked on its own · 6 times inside a blend (6 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 6 such blended picks (6 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 reg sho threshold
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: Overvaluation at threshold inclusion with subsequent reversal (negative abnormal returns), strongest where short constraints bind (ABB 2015); no per-window % figure claimed
Tested over: post-inclusion reversal window (implementation holds T+1 to T+5/T+10)

Negative post-inclusion drift over the 5-10d hold (reversal of inclusion-period overvaluation, per ABB 2015). Paper reports reversal concentrated in hard-to-borrow names and warns extreme borrow costs make the edge hard to arbitrage; net-of-borrow magnitude for this exact window is not quantified in the paper.

Example tickers where this is likely to fire

GME AMC BBBY CVNA MARA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Fails-to-Deliver PressurePrice & Market Behavior

If a stock has been on the SEC's 'failed-to-deliver' threshold list for many days, brokers are forced to close shorts — sets up a squeeze.

FTD Persistence SignalPrice & Market Behavior

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.

FTD Concentrated Squeeze LongPrice & Market Behavior

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.

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