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Unexpected Short Selling Bars

by Patrick Fonce, 2865 days ago
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When there is more short selling volume than long volume, traders expect a decrease in the price of the stock and when there is more long volume than short selling volume, traders expect an increase in the price of the stock. However, things could happen differently from what traders expect.

The indicator, I present here, calculates the percentage of bars where something unexpected occurred during a lookback period.
By unexpected I mean: short selling ratio higher than 50% and the stock price increases or short selling ratio lower than 50% and the stock price decreases.
The higher the indicator value is the more unexpected bars occurred. A value higher than 50% means that more than half the bars were "unexpected" during the lookback period. The indicator could be interpreted as follows; a change in the stock trend may occur if the stock trend and the indicator trend are heading to the same direction.

In order to calculate the price changes, I used the difference between the close price and the open price. You can change this, if you want, and calculate the price changes as the difference between the close price and the preceding close price. I have used the first solution, because the short selling data includes only transactions and volume that occurred during the trading session, it does not include pre-market and post-market transactions volume.

The indicator accepts two parameters, the first one is the short selling ratio time-series and the second one is the lookback period. The short selling ratio time-series could be downloaded using one of the following items: Short Selling Data, NYSE Arca - Daily short sale data, NASDAQ and Boston stock exchanges - Daily short sale data, Short Selling historical data, NSX - Daily short selling data.

Other short selling indicators:
Short Indicator
Short selling indicator
High Short Selling Activity


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Type: Trading Indicator

Object ID: 338


Country:
United States

Market: Stock Market

Style:
Fundamental Analysis

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