I really want to do this, but I have not tried. Find a broker who will let you short "penny stocks." Give out your email to every stock picking site you can find. Then short the stocks for which you get "buy" recommendations (which they will all be). I am guessing the spam emails would be the best. Let me know how it turns out. I can't imagine you doing any worse than if you follow a penny stock picker.
thug is right. the problem is that you have to be a market maker to short penny stocks, and they aren't optionable so there are no puts to buy either.
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