First of all, mirror image systems just don't work. Shorting upper ends of Bollinger bands, etc are a swift way to bankruptcy (except in period 2001-2002) Its important to note that the CSFB hedge fund index for Dedicated ShortSelling actually had a Negative return in 2001. I mean, the market was down 12%!? and the professionals who are 24 hours a day trying to find stocks to short still couldn't make a profit. What gives? Shorting is not the opposite of going long. Valuation shorting also is just useless. Look at TASR or ZIXI right now. If you shorted them 50% ago you might still be right but you're also bankrupt. Wiley has an upcoming compilation coming out on shortselling where I've written a chapter on futures shortselling with a few techniques that have, at least, worked historically. But I'm a skeptic in general about shorting. Perhaps the best way to short is to use credit derviatives on stocks with big debt-equity ratios but I've never tested that.
from 1998 to early 2000 i was invested with a short seller with an amazing trackrecord in the nineties. he had an annual return of around 15% with a volatility slightly above that, leaving him with a modified sharpe ratio of somehow below 1. we could not find anyone coming near to that. as far as i can recall they would trade stocks within a band of price earnings. funny enough that their attempts in long short strategies did not come close to their success in shorts only. i am very interested in your article. possible to get it somewhere on a stand alone basis?