Short volume, short interest as trading signals

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Short volume, short interest as trading signals

posted Jun 12, 2016

Seeking Help Momentum Lectures

Posting this again hoping to get a response:

I am building an algo based on an idea originally posted by Delaney in the "Trading Strategy Ideas: FMA 2015 Papers" post. I want to test for short-selling volume signals as part of a momentum strategy. How might I use Quantopian to calculate any of the following ratios:

(1) the ratio of the value of securities on loan to the total market capitalization of that security on a given day, ONLOAN (2) the ratio of the number of securities on loan to the number of shares that were available to be loaned, UTILIZATION (3) the ratio of the number of shares sold short to the total number of shares traded that day from NYSE's SuperDOT platform, SHORT VOLUME (4) the ratio of the number of shares shorted to the number of shares outstanding, SHORT INTEREST.

Link for paper claiming that stocks heavily shorted by the market tend to underperform compared to stocks that are not short sold:

http://www.fma.org/Orlando/Papers/AP_Saffi_DeleveragingRisk_FMA.pdf

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.