Quick and dirty implementation of a market- and sector-neutral short interest factor (i.e. short the most shorted stocks, long the least shorted stocks within each sector) .... yeeeouchpic.twitter.com/aFSp6lROE7
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Is this in the Russell 2000 as we use the short interest factor as a momentum factor or at least a risk factor. It usually works, but not in large caps
This is all US stocks with some criteria on market cap, traded volume and price (no micro caps, no penny stocks, nothing trading less than $3m/day on avg)
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Try without these filters. Most of the action is in the shares with the lower nominal share prices.
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That sounds likely but including penny stocks and micro caps makes it much harder to to implement in practice!
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