A short-selling strategy that identifies the weakest stocks by composite weakness scoring and profits from their continued decline.
This page explains the Saturn short weak momentum strategy. You'll learn about the weakness scoring system, how stocks are ranked for short selling, and how the portfolio is constructed from the weakest candidates.
The Saturn strategy is a systematic short-selling approach that operates exclusively within a pool of easy-to-borrow stocks. It identifies stocks exhibiting the strongest weakness signals and profits from their continued decline using a proprietary multi-factor weakness scoring system.
Each stock is assigned a composite weakness score combining multiple factors. Lower scores indicate weaker stocks that are better short candidates. The scoring uses a proprietary lookback window.
Short selling carries unique risks compared to long-only strategies. Understanding these risks is essential before considering this strategy.
The strategy incorporates several features to manage short-selling risks.
All trading signals are generated at market close (Day T) and executed at the next day's open (Day T+1). This ensures realistic backtesting without look-ahead bias.
After market close, calculate weakness scores for all qualifying stocks using the proprietary scoring system. Select the weakest stocks for the short portfolio.
At market open, cover short positions that are no longer in the target list and open new short positions. Equal-weight allocation across all positions.
All performance figures are based on historical backtesting and are hypothetical. Past performance does not guarantee future results. Short selling involves substantial risk including unlimited loss potential. The backtest assumes perfect execution at open prices with no slippage. Stock borrowing costs and fees are not factored into the results — real-world returns will be lower after accounting for borrow rates, which vary by stock and broker. This is educational content, not investment advice.