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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. macrocephalopod‏ @macrocephalopod 27 Jan 2021

      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

      5 replies 20 retweets 96 likes
      Show this thread
    2. Andrew Lapthorne‏ @AndrewLapthorne 27 Jan 2021
      Replying to @macrocephalopod

      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

      1 reply 0 retweets 0 likes
    3. macrocephalopod‏ @macrocephalopod 27 Jan 2021
      Replying to @AndrewLapthorne

      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)

      1 reply 0 retweets 2 likes
    4. Andrew Lapthorne‏ @AndrewLapthorne 27 Jan 2021
      Replying to @macrocephalopod

      Try without these filters. Most of the action is in the shares with the lower nominal share prices.

      1 reply 0 retweets 0 likes
    5. macrocephalopod‏ @macrocephalopod 27 Jan 2021
      Replying to @AndrewLapthorne

      That sounds likely but including penny stocks and micro caps makes it much harder to to implement in practice!

      1 reply 0 retweets 0 likes
    6. macrocephalopod‏ @macrocephalopod 27 Jan 2021
      Replying to @macrocephalopod @AndrewLapthorne

      eg if you need to deploy a gmv $10bn ...

      1 reply 0 retweets 0 likes
    7. macrocephalopod‏ @macrocephalopod 27 Jan 2021
      Replying to @macrocephalopod @AndrewLapthorne

      Will relax the filters and run it again later (and maybe introduce a filter to cut out the largest ~500 names)

      1 reply 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 28 Jan 2021
      Replying to @macrocephalopod @AndrewLapthorne

      @AndrewLapthorne just realized that the universe selection criteria I used actually took GME out on 1 Apr 2020 because market cap was so low and didn't add it back until 1 Oct :)

      3:42 AM - 28 Jan 2021
      • 1 Like
      • Andrew Lapthorne
      0 replies 0 retweets 1 like

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