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Short Interest Surprise

Updated dailyData needs: lowlong onlyshort onlylong short

2023

Hanauer, M.X., Lesnevski, P., Smajlbegovic, E. (2023). Surprise in short interest. Journal of Financial Markets, 65, 100841.

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In plain terms

Hanauer-Lesnevski-Smajlbegovic (2023): investors anchor on the prior short-interest print and underreact to the UNEXPECTED component.

How it works

Hanauer-Lesnevski-Smajlbegovic (2023): investors anchor on the prior short-interest print and underreact to the UNEXPECTED component. Proxy bi-weekly SI with 21d-mean FINRA short_pct, fit a within-ticker expectation (EWMA/AR(1), optionally detrended vs sector mean), z-score the residual over 252d.

Live results

213 times picked on its own · 295 times inside a blend (261 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 295 such blended picks (261 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

Finra short volume
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Tested over: Modern daily equity data

behavioral premium; decay risk 2/5.

Example tickers where this is likely to fire

SPY AAPL NVDA TSLA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Short Interest ChangePrice & Market Behavior

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

Explore Short Interest Surprise on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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