reg sho threshold entry short
What it checks
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.
Mechanism
Entry to the SEC Reg SHO Threshold Security List signals persistent FTDs (5+ consecutive days with FTDs >=10k shares AND >=0.5% of float). DLW 2009 show negative drift over the 5-10 days post-inclusion BEFORE the Reg-SHO close-out mechanism starts forcing covers.
Signal rule
First day on the Reg SHO threshold list after >=5 prior days off list (T+1) -> SHORT for 5/10 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_reg_sho_thresholdWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ~-1% over 5-10d
- Paper window
- T+1 to T+10d
~-1% over 5-10d on inclusion-event short window (DLW 2009).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
ftd threshold listMicrostructureThe 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 persistence signalMicrostructureShort-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.
ftd concentrated squeeze longMicrostructureWhen 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.
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