Make money doing the work you believe in
Shorting Garbage Is (Mostly) Free Money
Take nano-cap stocks under $50M market cap. Rank them by how far they've extended above their moving average. Short the top 10 for 14 trading days, cover at rebalancing.
Average basket return: -9%. Win rate: 76%. Sharpe above 2.
However, a Sharpe above 2 in a backtest means nothing if you can't locate the shares, afford the borrow, or survive the one day a name runs 5x against you.
The numbers are real. The implementation is where it gets hard.
Mar 10
at
2:52 PM