Price & Market BehaviorExtended setexperimental liveNew
Fails-to-Deliver Pressure
Updated dailyData needs: 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 →
In plain terms
When settlement fails spike far above normal, we treat it as a possible squeeze-pressure signal and go long briefly.
How it works
Extreme fails-to-deliver spikes can indicate crowded short pressure and forced-cover squeeze risk. This variant trades the squeeze-pressure side.
Live results
72 times picked on its own · 145 times inside a blend (129 beat the stock) · updated 2026-06-06This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 145 such blended picks (129 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.
Expected edge
- Reported return
- untested - internal
- Tested over
- 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.
Explore Fails-to-Deliver Pressure on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.