Crowded-Short Breakout
Heavily shorted stocks clearing resistance on heavy volume, where short sellers may be forced to buy back.
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Heavily shorted stocks clearing resistance on heavy volume, where short sellers may be forced to buy back.
Rules v1 (04b4e5e8) · Recipe csb-r1 (7eff8b46) · engine 1.1.1 · Long only
Universe: ASIC-reported names
rules v1 04b4e5e8 · recipe csb-r1 7eff8b46 · engine 1.1.1 · ASIC report to 2 Nov
AUD · after costs
Hypothetical results from rules applied to historical data, not a record of trading. Not financial advice.
Total return: dividends as adjusted by the price vendor, or credited in cash on the ex-date from ASX dividend notices where the vendor has not adjusted them (notices from 11 Sep 2024); franking excluded; vs S&P/ASX 200 Gross Total Return.
ASIC basis: Latest complete ASIC report published by each session (T+4 sessions on a calendar derived from the data; assumed for the whole history); values as later revised; original publications not kept.
Reference: The reference is built from the same price history with the same gaps. If a strategy beats the ASX 200 but not the reference, the edge may be the data rather than the rules. Gaps are uneven across stocks, so subtracting the reference does not remove survivorship bias.
Survivorship: Prices are missing for companies that delisted before about 2025. Heavily shorted companies that later failed are over-represented among them, so these results flatter the strategy, most in the earlier years; by how much cannot be measured.
In-sample · rules frozen 2026-11-06: the figures to 2026-11-05 are in-sample; no paper track is recorded yet.
Hypothetical results from rules applied to historical data, not a record of trading. Not financial advice.
Total return: dividends as adjusted by the price vendor, or credited in cash on the ex-date from ASX dividend notices where the vendor has not adjusted them (notices from 11 Sep 2024); franking excluded; vs S&P/ASX 200 Gross Total Return.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | +0.1% | +2.8% | +0.4% | −1.1% | +3.5% | −0.4% | −4.3% | −1.2% | +4.8% | −0.8% | +0.1% | −0.5% |
| 2025 | −2.9% | −6.6% | −2.5% | +0.9% | 0.0% | +2.6% | −5.4% | +4.4% | +3.1% | +0.6% | −2.6% | −1.4% |
| 2026 | +9.5% | −11.2% | −3.8% | +3.1% | −2.0% | +3.2% | −2.8% | −2.9% | −2.0% | −3.5% | +1.0%Month to date | Not elapsed |
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | Before window | Before window | Before window | Before window | −0.1% | +0.6% | +4.3% | −2.0% | −1.0% | +0.4% | −2.2% | 0.0% |
| 2020 | −1.9% | −8.7% | −0.7% | +1.9% | −0.2% | −2.6% | 0.0% | +1.7% | −3.3% | −0.9% | +1.9% | −0.2% |
| 2021 | +0.1% | +1.3% | −0.9% | +0.1% | −0.1% | −1.2% | −2.7% | +0.7% | +3.6% | −0.1% | 0.0% | +1.0% |
| 2022 | −0.4% | −1.8% | +4.4% | −4.9% | −0.2% | 0.0% | +3.8% | −10.2% | +0.7% | −0.8% | +2.0% | −0.7% |
| 2023 | −1.3% | +0.2% | −0.6% | −0.1% | −2.1% | +1.4% | +1.3% | −3.4% | −1.4% | −0.9% | +1.1% | +3.1% |
Coverage measured · flatters results
Prices are missing for companies that delisted before about 2025. Heavily shorted companies that later failed are over-represented among them, so these results flatter the strategy, most in the earlier years; by how much cannot be measured.
Coverage (qualifying ≥ 5% short) 63% (2019) → 100% (2026) · flatters results; by how much cannot be measured
63% of the stocks this strategy could have held in 2019 have prices. The missing ones mostly delisted before 2025, and heavily shorted failures are over-represented among them, so results this year are flattered; by how much cannot be measured. (qualifying ≥ 5% short.)
| Year | Qualifying (≥ 5% short) | All reported | Priced name-days | Delisting exits | CA exits |
|---|---|---|---|---|---|
| 2019 | 63% | 63% | 5,484 of 8,712 | 0 | 0 |
| 2020 | 68% | 67% | 6,261 of 9,243 | 0 | 0 |
| 2021 | 78% | 71% | 4,083 of 5,256 | 0 | 0 |
| 2022 | 87% | 77% | 7,210 of 8,316 | 0 | 0 |
| 2023 | 94% | 83% | 7,453 of 7,926 | 0 | 0 |
| 2024 | 100% | 93% | 7,868 of 7,879 | 0 | 0 |
| 2025 | 100% | 98% | 10,203 of 10,203 | 0 | 0 |
| 2026 | 100% | 99% | 12,814 of 12,817 | 0 | 0 |
Qualifying coverage by year
Monthly qualifying coverage: hatched under 80%
Entries cancelled: 73 cancelled gap, 1 cancelled untraded
Pre-re-sync consolidations (an ASIC share step of 1.8x or more with a continuous vendor price): days to cover before them is overstated by the factor. It is a non-core ranking input for Crowded-Short, and no decision uses the later step.
| Change | CAGR | Excess over benchmark | Reading |
|---|---|---|---|
| Costs doubled | −9.1% | −17.8 pp | Does not beat XJT |
| ASIC publication two sessions later | −5.4% | −14.1 pp | Does not beat XJT |
| Delisted positions exit at zero | −5.6% | −14.3 pp | Does not beat XJT |
| Entry one session later | −7.1% | −15.8 pp | Does not beat XJT |
| Mockup costs (flat 10 + 5 bps per side) flatter small-cap breakouts | −4.5% | −13.2 pp | Does not beat XJT |
Costs: 10 bps brokerage (min A$10) + 5-50 bps spread by liquidity, per side. The flat 10 + 5 bps alternative is labelled "the mockup's flat costs flatter small-cap breakouts".
No paper track to compare yet