Signal 03 · Market Data
Short Interest
A daily, intraday-refreshed measure of institutional shorting pressure derived from securities lending activity — the strongest single-signal predictor of large drawdowns in Tidal’s research.
Definition
What short sellers are actually doing — not what they disclosed two weeks ago.
Regulatory short interest filings are aggregated, biweekly, and stale on arrival. Tidal’s Short Interest signal is derived from daily securities lending transaction data across 100+ reporting entities — over 1.2 million daily transactions covering 16 billion shares. It reflects the actual borrowing activity behind institutional short positions in real time, not the regulatory snapshot from two weeks ago.
The primary signal is ShortInterestPCT (SI_PCT) — the percentage of a security’s float currently borrowed for short sale purposes. Where Volatility and Velocity measure the price dimension of the lending market, Short Interest measures the quantity dimension. The three signals are independent: VOL↔SI Spearman r = −0.17 — nearly orthogonal.
Classified as primarily a risk management signal. Short Interest is the strongest single-signal drawdown predictor in Tidal’s program. Its alpha properties concentrate in Small and Mid-cap segments and are explicitly disclosed below.
Live Market Snapshot
All U.S. Equities Short Interest — 60 Trading Days
Market-capitalization-weighted Short Interest across the full U.S. equity universe. Live snapshot integration in progress.
Average Short Interest as a percentage of float, by institutional cap tier · refreshed daily at 7:45 AM EST.”
The Research Evidence
Three views into the signal.
Drawdown odds, cap-tier monotonicity, and signal persistence — three views demonstrating that Short Interest is the strongest single-signal risk predictor in Tidal’s research.
2.97x More Likely to Draw Down
Within the institutional U.S. equity universe, securities in the top Short Interest quintile (Q5) are 2.97x more likely to experience a 10%+ drawdown over the next 10 trading days than securities in the bottom quintile (Q1).
This is the headline finding of the Short Interest research program — the single number that defines the signal’s commercial value.
Stronger Down the Cap Stack
Drawdown prediction strength is monotonically increasing from Mega to Small cap. Short Interest IC reaches −0.21 in Small cap — among the strongest factor signals documented at that segment.
The signal works in every institutional cap tier including Mega and Large — though for risk management only at those sizes, as detailed below.
Persistent — Slow to Rebalance
Short Interest rank autocorrelation remains at 0.94 after 21 trading days. Once a security enters an elevated SI state, it typically remains there for weeks — short positions don’t unwind quickly.
For operational use, this means the signal does not require daily rebalancing. A 2- to 4-week holding window captures the full signal with minimal turnover.
All Short Interest findings use SI_PCT — the absolute percentage of float on loan. Rolling z-scores of SI_PCT are not directional at short horizons (they exhibit short-squeeze dynamics in the 1- to 5-day window) and are excluded from risk and alpha claims. Short Interest is sector-concentrated: Technology and Healthcare carry naturally higher SI_PCT than Utilities or Consumer Defensive. All sector-level claims use within-sector normalization to control for this. Cap-tier analysis uses within-tier cross-sectional ranking. Full methodology available on request.
Cap-Tier Application
Risk works everywhere. Alpha is cap-restricted.
Short Interest predicts drawdown across every institutional cap tier — but the directional alpha story diverges by size. The honest framing.
Short Interest alpha concentrates in Small and Mid cap.
In Small and Mid cap, high SI_PCT predicts both elevated drawdown and negative 21-day forward returns. Dual-purpose: risk + alpha.
In Mega and Large cap, high SI_PCT predicts elevated drawdown — but directional return is unreliable due to short-squeeze dynamics. Deploy as a risk overlay only at these sizes. Do not use Short Interest as a directional alpha factor in Mega or Large cap names.
Use Cases
Three institutional applications.
How Tidal clients use the Short Interest signal in production.
For
Risk Teams
Integrate SI_PCT as a daily security-level drawdown risk factor. High-SI names warrant position size reduction, tighter stops, and elevated monitoring frequency. The 21-day persistence (0.94 autocorrelation) means weekly rebalancing captures the full signal without excessive turnover. Works across every institutional cap tier.
For
Portfolio Managers
Small/Mid cap: dual-purpose. High SI_PCT predicts both drawdown and negative 21d returns — actionable for both short-side conviction and long-side position sizing.
Mega/Large cap: risk overlay only. Use SI_PCT to size existing positions and flag drawdown risk. Do not deploy as a directional alpha signal at these sizes.
For
Quant Teams
Use SI_PCT as the operative signal — not z-scores or normalized variants, which exhibit short-squeeze dynamics at short horizons. Spearman r = −0.17 vs Volatility — nearly orthogonal, ideal for factor combination. Apply within-sector normalization to control for natural sector concentration (Technology, Healthcare).
The Data Files
What clients receive.
End-of-day and intraday delimited files, delivered to AWS S3 with per-client credentials.
File Structure
EOD + Intraday
Short Interest is published in six files — three aggregation levels, each with an EOD and intraday companion:
Security — per-ticker daily values across 8,000+ U.S. equities.
Sector — aggregated to 11 equity sectors.
Industry — aggregated to 140+ industry classifications.
Intraday — refreshed every 15 minutes between 8:00 AM and 5:00 PM EST.
Signal Fields
What’s in the File
ShortInterestPCT (SI_PCT) — primary signal, percentage of float on loan.
SharesShort — absolute share count.
ShortRatio — days-to-cover proxy.
Plus standard identifiers and reporting timestamps.
Usage note: SI_PCT (absolute level) is the directional risk signal. Z-score variants of SI_PCT exhibit short-squeeze dynamics at 1- to 5-day horizons and are not directional.
Delivery
Cadence & History
EOD — daily, 7:45 AM EST.
Intraday — every 15 minutes, 8:00 AM – 5:00 PM EST.
History — EOD from 2018; intraday from December 2024.
Transport — AWS S3, per-client credentials.
Format — delimited .CSV or .TXT.
Evaluate the Short Interest signal.
Request methodology documentation, sample data files, and early access to the intraday Short Interest pipeline.
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