Market microstructure#267tier 2experimental liveNew
sec ftd fail pressure
cadence: Dailydata: lowlong only
paper
2008
Source
Extends Boehmer, Jones, and Zhang fails-to-deliver / short-sale constraint literature using SEC FTD ZIP archives.
Read the paper →
What it checks
When settlement fails spike far above normal, we treat it as a possible squeeze-pressure signal and go long briefly.
Mechanism
Extreme fails-to-deliver spikes can indicate crowded short pressure and forced-cover squeeze risk. This variant trades the squeeze-pressure side.
No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.
Signal rule
log fail-value z-score >= 2 or 3 -> LONG issuer; hold 5/10/20 trading days.
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
- untested - internal
- Paper window
- T+1 to T+20d
Untested internal microstructure family; target 25-150 bps over 5-20d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
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