Aggregate Short Interest as timing tool

Research
1

I am looking for a way to test the use of the short interest ratio as a market timing tool. Specifically, I would like to compare this weeks average or median SI ratio (for the universe defined) to last weeks to determine if I should be short or long the market. I know the data is there, but I cannot find a way to do this. Any thoughts on how to do this?

Thanks
Bruce

2

Bruce - you can do this on a monthly basis but I can’t see how you could do it weekly. Monthly is:

Eval(FMedian(“SICM”) < FMedian(“SIPM”),TRUE,FALSE)

Steve

3

Thanks Steve
I’m still looking for a way to do the weekly testing.
Monthly tests give results that are counter-intuitive but that’s often the case, isn’t it? Increasing short interest in prior months leads to months with positive gains.

-Bruce

4

Is there yet a way to see the weekly change in SI?

Thanks
Tony