short interest ratio drift
What it checks
Stocks where short interest is persistently in the top 20% of their own history underperform by about 7% per year. Short these high-SI names for 1-6 months.
Mechanism
Stocks in the top quintile of short interest earn -7%/yr on the short side. The signal is the LEVEL of short interest, not its change — persistently high short interest is an informed-bear signal that the marginal long-only investor is overpaying.
Signal rule
21-day rolling mean of finra short_pct in top quintile of trailing-252d own-history (T+1) -> SHORT for 21/63/126 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
finra_short_volumeWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- -7%/yr on top quintile
- Paper window
- T+1 to T+126d
-7%/yr on top-quintile short-interest names (APR 2005).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
short interest changeMicrostructureTwo complementary readings of FINRA's daily short-sale volume. (1) CONTINUATION: when short_volume z-score is positive AND price is weak, shorts are adding aggressively into a falling tape — bearish continuation. (2) SQUEEZE-FADE: when short_volume hits extreme highs THEN reverts, the market is clearing stale shorts — bullish for longs. Anchored in Boehmer-Huang-Jiang (2010) and Diether-Lee-Werner (2009): FINRA short_volume captures intent and leads bi-weekly NYSE/NASDAQ short-interest snapshots by ~10-14 days.
borrow rate level shortMicrostructureStocks that are expensive-to-borrow earn -3.7%/month abnormal return — the shorting premium of Drechsler-Drechsler 2014. The expensive borrow signals binding short-sale constraints; the costlier the borrow, the more the bearish belief is kept out of price, leaving the optimist tail to dominate.
transcript tone x short interestMicrostructureCookson, Engelberg & Mullins (2023) RFS "Echo Chambers" + Jiang-Li (2024). Compound signal: a negative tone shift on the earnings call followed by rising FINRA short-volume in the next 5 days predicts continued downside over a 20-day hold. The cross-table version adds ~30% to plain transcript-tone alpha because short-flow corroborates the negative narrative — the market is acting on it, not just reading it. Reported Sharpe 1.4; orthogonal to PEAD. SHORT only.
Explore short interest ratio drift on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.