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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Try without these filters. Most of the action is in the shares with the lower nominal share prices.
That sounds likely but including penny stocks and micro caps makes it much harder to to implement in practice!
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eg if you need to deploy a gmv $10bn ...
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Will relax the filters and run it again later (and maybe introduce a filter to cut out the largest ~500 names)
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