factor · Short Interest
Short interest reads the size of the bearish bet against a stock relative to its float. High and rising short interest is bearish — many sophisticated traders have done the work and concluded the stock is overpriced. But extreme short interest with rising fundamentals is the precondition for a squeeze, which flips the signal.
Short selling is expensive, risky, and time-pressured. If a hedge fund is paying borrow fees of 8%/year and holding overnight margin against a stock, they have done the homework. A high short ratio is the market's collective bearish thesis aggregated. Most of the time it works as a fade — the bears were right, the stock declines slowly, the shorts cover with a profit. Sometimes — when fundamentals improve faster than the bears expected, AND the stock has high days-to-cover, AND retail momentum picks up — the shorts cannot exit fast enough and the price gaps up. Both regimes exist; the factor reads which one a ticker is in.
inputs · short interest as a fraction of float
· days-to-cover (short interest divided by recent avg daily volume)
· institutional ownership share
· price momentum
ideas · "crowd" component reads bearish when high (consensus is short),
sign-flipped so the factor presents bullish-when-low
· "squeeze" component adds a separate bullish bonus when extreme
short interest, positive momentum, and high days-to-cover all
co-fire — the classic Asquith short-squeeze precondition
output · cross-sectional standardised scoreTwo mechanisms in one factor. The crowd-score thresholds, the squeeze-trigger thresholds, the bonus coefficient, and the lookback for days-to-cover are calibrated and proprietary. Public structure: crowd vs squeeze split, sign convention, and academic anchors (Asquith-Pathak-Ritter 2005, Lamont-Stein 2004).
Short interest comes from FINRA's bi-weekly settlement reports plus daily updates from Finnhub. Institutional ownership comes from SEC 13F filings (quarterly cadence). Days-to-cover is computed from the 30-day average daily volume on Yahoo Finance EOD data. The factor refreshes when any input changes — typically twice a month for the SI baseline, daily for momentum and volume inputs. The squeeze setup re-evaluates every day during the 06:00 UTC universe sweep.
Short Interest interacts with Momentum to form the SHORT SQUEEZE SETUP confluence pattern — extreme short interest plus rising momentum plus high days-to-cover is the Asquith-Lamont signature. With Quality and Value, it composes the CROWDED-SHORT VINDICATION pattern — when bears are right (high SI plus deteriorating quality plus a value trap signature), the bearish thesis is doubly anchored. The factor's regime amplifier is conservative — short-squeeze setups depend on retail flow, which is regime-driven; in risk-off the squeeze flag down-weights automatically.
The factor's two regimes are inherently hard to separate ex-ante, and the signal noise around the squeeze threshold is high. Real-world example: between 2020 and 2022 we would have seen GME, AMC, BBBY at extreme short levels with positive retail momentum — the signal would have flagged squeeze setups correctly on GME and AMC, but the same heuristic on BBBY produced a false positive that crashed back. We accept this — the false-positive rate near the squeeze threshold is the cost of capturing the rare but extreme upside. A second limitation: the FINRA bi-weekly cadence means the SI baseline is up to 14 days stale at the moment of evaluation, which materially affects fast-moving names.
Every ticker page shows the per-factor decomposition. The Short Interest score is one of thirteen composing the 0–100 the composite score.