Posting this again hoping to get a response:
I am building an algo based on an idea originally posted by Delaney in the "Trading Strategy Ideas: FMA 2015 Papers" post. I want to test for short-selling volume signals as part of a momentum strategy. How might I use Quantopian to calculate any of the following ratios:
(1) the ratio of the value of securities on loan to the total market capitalization of that security on a given day, ONLOAN (2) the ratio of the number of securities on loan to the number of shares that were available to be loaned, UTILIZATION (3) the ratio of the number of shares sold short to the total number of shares traded that day from NYSE's SuperDOT platform, SHORT VOLUME (4) the ratio of the number of shares shorted to the number of shares outstanding, SHORT INTEREST.
Link for paper claiming that stocks heavily shorted by the market tend to underperform compared to stocks that are not short sold: