Monthly Long-Short Stock Sort Using Short-Volume Ratios

Summary

The strategy ranks equities by a short-activity measure and forms a monthly long-short portfolio. It sorts stocks into deciles using short interest relative to shares outstanding, buys the lowest-ratio group, and shorts the highest-ratio group, with equal weighting within each side. The supplied implementation uses a fixed list of large US stocks, daily equity data, and FINRA short-volume and total-volume fields to calculate a short-volume-to-total-volume ratio. It rebalances when a new month is detected, liquidates holdings outside the selected groups, and applies leverage and a custom fee model.

This is implementation material, not evidence of profitability: it reports no backtest results or risk analysis. The code uses a limited stock universe and its measured short-volume ratio is not the same as short interest relative to shares outstanding described in the strategy outline. Data availability, monthly sampling of daily fields, missing observations, short-sale constraints, leverage, and transaction costs may all affect results. The implementation therefore warrants careful data and methodology validation before drawing conclusions.

Key ideas

• The stated signal ranks stocks by short interest relative to shares outstanding.
• The portfolio buys the lowest-ranked decile and shorts the highest-ranked decile each month.
• Positions are equally weighted within the long and short groups.
• The implementation substitutes a short-volume-to-total-volume ratio for the stated short-interest measure.
• The sample is restricted to a fixed list of large US equities and has no reported performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.