The
Short Interest Effect strategy uses short interest levels to predict stock performance. Securities with low days-to-cover tend to outperform those heavily shorted. At a monthly interval, stocks are sorted by short interest and the portfolio buys the lowest group while shorting the highest.
- Entry Criteria: Monthly ranking by short interest ratio or days-to-cover.
- Long/Short: Both directions.
- Exit Criteria: Monthly rebalance.
- Stops: No explicit stop.
- Default Values:
- CandleType = TimeSpan.FromDays(1).TimeFrame()
- Filters:
- Category: Fundamental
- Direction: Both
- Indicators: Fundamentals
- Stops: No
- Complexity: Basic
- Timeframe: Medium-term
- Seasonality: Yes
- Neural Networks: No
- Divergence: No
- Risk Level: Medium