Short-selling spike

Why this can work

A fast rise in short selling can mean informed investors expect bad news.

What can go wrong

Rising short interest can come from hedging or arbitrage rather than a negative view; crowded shorts can squeeze up sharply.

Rule

Short balance up 50%+ in 20 trading days to 1%+ of shares → short the stock, long the market for 20 trading days.

Backtest

At ₩1억 a trade, Nov 1, 2021 to Oct 30, 2026.

Capacity: ₩29억
Avg costs: 1.8%
Avg fill days: 1.0
Turnover a year: 352%

19191 signals → 220 trades (1262 left out by filters, 17689 over the position limit, 20 still open, 0 too big to fill, 0 exited at delisting).

Equity curve (% of book)

How this is calculated

Each trade pays commission (your setting), half the typical spread (half a price tick) on the way in and out, the securities transaction tax when a stock is sold or sold short, and borrow fees for a short stock (by how easy it is to borrow). Index futures pay a small fee and no tax or borrow.
Price impact uses the square-root model: impact = k × daily volatility × √(order ÷ 20-day average trading value), k = 1.0 by default, on the way in and out, for each leg.
Days to fill = trade size ÷ (average trading value × your participation %). Orders that take more than a day are spread over those days at each day's typical price (high + low + close ÷ 3), in and out.
Capacity is the trade size at which the setup's average return after costs falls to zero, if each trade were done within a day.
Everything is point in time: filters use only what was known on the entry day, financial statements count from their reporting deadline, and delisted stocks stay in (a stock that stops trading is exited at its last price).
Short selling was banned in Korea (all stocks Nov 2023–Mar 2025, most stocks from Mar 2020). During bans a short stock leg moves to index futures when futures are your hedge; otherwise the trade is skipped. Each setup says how many.
In-sample is the first 70% of the history, out-of-sample the last 30%. Walk-forward trades each half-year only if the setup made money over the previous two years.
Returns are per trade, as a % of the trade size. Sharpe is per trade, scaled by how often the setup trades. Drawdown and the equity curve are in % of your book.

By year

Year	Trades	Profitable	Avg net
2025	40	77.5%	+9.5%
2026	180	56.7%	+3.3%

Walk-forward

Each half-year is traded only if the previous two years were positive.

From	Traded	Trades	Avg net
Nov 1, 2023	No	0	—
May 1, 2024	No	0	—
Oct 30, 2024	No	0	—
Apr 30, 2025	No	0	—
Oct 29, 2025	No	120	+8.0%
Apr 29, 2026	Yes	100	0.0%
Oct 28, 2026	Yes	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	220	0	220	100
Profitable	60.5%	—	60.5%	46.0%
Avg net	+4.4%	—	+4.4%	0.0%
Median	+5.6%	—	+5.6%	−1.3%
Worst trade	−124.9%	—	−124.9%	−47.9%
Worst drop (% of book)	−11.0%	0.0%	−11.0%	−550.8%
Sharpe	2.85	—	2.85	0.02

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
STCC Steel	KOSPI 200 futures	Sep 16, 2026	Oct 20, 2026	−38.5%	2.1%	−40.6%	1
SSK Securities	KOSPI 200 futures	Sep 16, 2026	Oct 20, 2026	−3.1%	1.6%	−4.6%	1
SKumho Electric	KOSPI 200 futures	Sep 16, 2026	Oct 20, 2026	+2.1%	1.8%	+0.3%	1
SDB HiTek	KOSPI 200 futures	Sep 16, 2026	Oct 20, 2026	−2.8%	0.8%	−3.6%	1
SAcryl	KOSPI 200 futures	Sep 16, 2026	Oct 20, 2026	+5.8%	3.3%	+2.5%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	+4.6%	1.7%	+2.9%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−5.0%	2.7%	−7.7%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−9.1%	1.9%	−11.1%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	+5.2%	1.4%	+3.8%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−0.6%	2.3%	−2.9%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−17.4%	1.6%	−19.0%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−6.3%	2.3%	−8.6%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−12.5%	1.2%	−13.7%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−8.9%	1.7%	−10.6%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−0.1%	1.3%	−1.4%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	+10.6%	0.9%	+9.7%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−33.6%	2.1%	−35.8%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	+1.6%	1.6%	0.0%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	−4.7%	0.9%	−5.6%	1
S	KOSPI 200 futures	Sep 15, 2026	Oct 19, 2026	+12.4%	0.7%	+11.6%	1
S	KOSPI 200 futures	Aug 18, 2026	Sep 15, 2026	−10.0%	1.6%	−11.6%	1
S	KOSPI 200 futures	Aug 18, 2026	Sep 15, 2026	+4.9%	2.5%	+2.5%	1
S	KOSPI 200 futures	Aug 18, 2026	Sep 15, 2026	−46.6%	1.3%	−47.9%	1
S	KOSPI 200 futures	Aug 18, 2026	Sep 15, 2026	−1.8%	2.3%	−4.1%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+18.0%	1.1%	+16.9%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 15, 2026	+5.3%	3.5%	+1.7%	2
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	−23.0%	3.7%	−26.8%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	−4.0%	2.9%	−6.9%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	−11.8%	3.2%	−14.9%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+24.7%	2.7%	+22.0%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+12.4%	2.8%	+9.6%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+0.1%	1.3%	−1.1%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+2.7%	3.1%	−0.4%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+19.7%	1.1%	+18.6%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+7.4%	1.8%	+5.5%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	−13.3%	1.5%	−14.8%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+2.1%	2.5%	−0.5%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+0.1%	2.0%	−1.9%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	−36.6%	1.3%	−38.0%	1
S	KOSPI 200 futures	Aug 14, 2026	Sep 14, 2026	+1.1%	2.4%	−1.3%	1
S	KOSPI 200 futures	Jul 16, 2026	Aug 14, 2026	+5.6%	2.6%	+3.0%	1
S	KOSPI 200 futures	Jul 16, 2026	Aug 14, 2026	+18.8%	1.7%	+17.1%	1
S	KOSPI 200 futures	Jul 16, 2026	Aug 14, 2026	+0.5%	3.1%	−2.6%	1
S	KOSPI 200 futures	Jul 16, 2026	Aug 14, 2026	+3.9%	2.8%	+1.1%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−11.6%	1.6%	−13.1%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−8.5%	1.2%	−9.7%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−22.8%	2.6%	−25.4%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−27.1%	2.5%	−29.6%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−9.4%	2.7%	−12.1%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	+7.1%	3.1%	+4.0%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−25.0%	0.9%	−25.9%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−19.4%	1.3%	−20.7%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−17.5%	1.9%	−19.4%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−43.2%	1.8%	−45.0%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−22.6%	1.9%	−24.5%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−25.4%	1.1%	−26.4%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−2.0%	2.6%	−4.6%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	+8.4%	1.8%	+6.6%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−14.3%	1.1%	−15.4%	1
S	KOSPI 200 futures	Jul 15, 2026	Aug 13, 2026	−4.0%	2.8%	−6.8%	1
S	KOSPI 200 futures	Jun 17, 2026	Jul 15, 2026	−5.3%	0.8%	−6.1%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−7.6%	3.6%	−11.2%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 15, 2026	−9.0%	2.7%	−11.7%	2
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	+11.8%	1.1%	+10.6%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−3.3%	2.5%	−5.8%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−3.1%	2.1%	−5.2%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−2.7%	1.7%	−4.5%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−4.2%	0.8%	−5.0%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	+23.4%	1.7%	+21.7%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	+17.8%	1.4%	+16.4%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−1.9%	0.9%	−2.9%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−11.5%	1.8%	−13.3%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	+23.5%	0.6%	+22.8%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	+4.9%	3.2%	+1.6%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	+7.7%	2.6%	+5.2%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 15, 2026	−15.0%	3.4%	−18.3%	2
S	KOSPI 200 futures	Jun 16, 2026	Jul 15, 2026	−14.7%	2.2%	−16.9%	2
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	+14.0%	0.8%	+13.3%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−6.9%	2.7%	−9.6%	1
S	KOSPI 200 futures	Jun 16, 2026	Jul 14, 2026	−6.7%	0.8%	−7.6%	1
S	KOSPI 200 futures	May 15, 2026	Jun 16, 2026	+29.5%	0.7%	+28.8%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+34.8%	1.6%	+33.1%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+29.4%	1.3%	+28.1%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+26.1%	0.8%	+25.4%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+20.8%	3.6%	+17.2%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+37.9%	1.4%	+36.5%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+29.5%	2.1%	+27.4%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+28.7%	0.9%	+27.7%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+19.1%	1.6%	+17.5%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+16.8%	1.9%	+14.9%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+14.8%	2.1%	+12.8%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+16.9%	1.4%	+15.4%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+42.8%	1.6%	+41.1%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+33.1%	2.9%	+30.2%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+32.9%	2.3%	+30.6%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+34.6%	1.6%	+33.0%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+31.1%	2.3%	+28.8%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+18.4%	0.8%	+17.7%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+22.7%	1.9%	+20.8%	1
S	KOSPI 200 futures	May 14, 2026	Jun 15, 2026	+19.6%	0.6%	+19.0%	1

Show all 100 trades