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