Using Aggregate Borrow Intensity Changes to Trade SPY

Summary

The document outlines a short-horizon SPY strategy based on changes in synthetic lending or borrowing intensity. It averages borrow-intensity readings across a broad set of stocks and ETFs, compares the daily aggregate with the prior day, and uses the sign of that change to choose a position: long SPY after an increase and short after a decrease. The intended holding period runs from late afternoon on one trading day to the same time the next day.

The material describes the data sources, timing, and trade rules, and includes a QuantConnect implementation. It does not report performance results, statistical tests, transaction costs, or risk-adjusted returns. The implementation’s data feed and signal timing are therefore important assumptions to verify, and the document itself offers no evidence that the relationship persists outside the described sample or market conditions.

Key ideas

• The strategy uses the equally weighted mean of borrow-intensity readings across stocks and ETFs.
• It compares the current aggregate reading with the previous day’s value.
• A positive change triggers a long SPY position, while a negative change triggers a short position.
• Positions are opened late in the afternoon and closed around the same time on the following trading day.
• The document provides implementation details but no performance evaluation or transaction-cost analysis.

Tags

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