Short Interest Effect (C#). StockSharp

Author: StockSharp
N: 2060
v5.0.0 (8/7/2025)
Downloads: 0

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