The reactor antineutrino anomaly might be explained by the oscillation of reactor antineutrinos toward a sterile neutrino of eV mass. In order to explore this hypothesis, the STEREO experiment measures the antineutrino energy spectrum in six different detector cells covering baselines between 9 and 11 m from the compact core of the ILL research reactor. In this Letter, results from 66 days of reactor turned on and 138 days of reactor turned off are reported. A novel method to extract the antineutrino rates has been developed based on the distribution of the pulse shape discrimination parameter. The test of a new oscillation toward a sterile neutrino is performed by comparing ratios of cells, independent of absolute normalization and of the prediction of the reactor spectrum. The results are found to be compatible with the null oscillation hypothesis and the best fit of the reactor antineutrino anomaly is excluded at 97.5% C.L.