StockSharp.Strategies.0395_Short_Interest_Effect.py

Short Interest Effect (Python Version)

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.

Details

• 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