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Short Interest Change

Updated weeklyData needs: mediumshort onlylong onlylong short

2009

Boehmer, Jones & Zhang (2008), Which Shorts Are Informed?; Diether, Lee & Werner (2009), Short-Sale Strategies and Return Predictability

Read the paper →

In plain terms

Watches FINRA's daily short-sale volume z-score. Aggressive new shorting in a falling tape = continuation; extreme highs that revert = squeeze fade.

How it works

Experimental rules built from FINRA aggregate daily short-sale volume: weak-tape high-volume continuation and a separate z-score-reversion long rule. The cited papers support predictability in exchange/proprietary short-sale order flow, but do not specify these FINRA, price-state or squeeze-fade rules.

Live results

102 times picked on its own · 770 times inside a blend (711 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 770 such blended picks (711 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.
Finra short volume
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Tested over: 2000-2004 NYSE order data (Boehmer-Jones-Zhang); 2005 Reg SHO pilot (Diether-Lee-Werner)

No paper alpha is transferred to this implementation; it requires independent PIT and executable validation.

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