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Institutional Alpha

Alltime Shield I

by Ordertune · part of Institutional Alpha

  • Momentum, short only (hedge)
  • Risk elevated

Alltime Shield I is a short-side hedge that presses relative weakness when markets turn nervous. It shorts stocks that are already in a medium-term downtrend at moments when broad-market uncertainty rises, on the view that these laggards fall hardest when fear spikes. Short selling needs a margin account at Alpaca.

Universe
Nasdaq100
Holding period
about 4 trading days on average
Order types
market, limit

€479

Institutional Alpha bundle · 25 strategies · per month, net

Subscribe to Institutional Alpha

Orders go to your own Alpaca account. You set the position size and approve each order until you switch to automatic.

5 Jan 2000 to 3 Nov 2026 · 6,971 trading days

Strategy level

What to expect from the strategy as a whole, measured on the daily return series.

Annual return (CAGR)
+2.9%
per year over the full history
Volatility
5.8%
annualized
Max drawdown
−16.5%
peak to trough
Sharpe ratio
0.50
risk-free 0%, annualized
Sortino ratio
0.83
downside deviation only
MAR ratio
6.95
return ÷ max drawdown

Equity curve

Growth over the full history on a logarithmic scale, so every year weighs the same. The figure that counts here is the annual return above.

Drawdown

How far the value stood below its previous high on each day. Deep or long dips are what an investor has to sit through.

Monthly returns

Compounded from daily returns, net of costs. Year compounds the months shown; an empty cell lies outside the range. *Partial month.

YearJanFebMarAprMayJunJulAugSepOctNovDecYear
20260.0%+2.6%0.0%0.0%0.0%+1.5%+0.9%0.0%−2.2%+3.4%−0.5%*no data+5.6%*
20250.0%+2.7%+3.4%0.0%0.0%0.0%0.0%0.0%−1.0%0.0%+4.1%0.0%+9.4%
20240.0%0.0%0.0%0.0%0.0%0.0%+2.0%+1.0%−0.1%0.0%+2.0%+0.6%+5.6%
20230.0%−0.3%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%−0.3%
2022+5.0%0.0%0.0%0.0%0.0%0.0%0.0%−0.3%+3.1%0.0%0.0%+3.5%+11.6%
2021−0.3%0.0%−1.8%0.0%+1.0%0.0%0.0%0.0%0.0%0.0%+0.1%−1.5%−2.4%
20200.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
20190.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
20180.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%+1.0%0.0%0.0%+1.0%
20170.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
20160.0%0.0%0.0%−2.9%+0.6%0.0%0.0%0.0%0.0%0.0%0.0%0.0%−2.3%
20150.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
20140.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
20130.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%+0.2%+0.2%
20120.0%0.0%+1.8%+2.1%+1.5%0.0%0.0%+1.1%0.0%0.0%−0.6%0.0%+6.0%
20110.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%+2.7%−3.3%−0.8%
20100.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
20090.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%−4.2%0.0%−2.0%0.0%−6.2%
20080.0%0.0%0.0%0.0%0.0%−0.3%0.0%0.0%+9.8%0.0%0.0%0.0%+9.5%
20070.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%+1.0%+2.7%0.0%+3.8%
20060.0%0.0%0.0%0.0%+1.0%0.0%+3.0%0.0%0.0%0.0%0.0%0.0%+4.0%
20050.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
20040.0%−1.1%−0.6%0.0%0.0%0.0%−0.8%0.0%0.0%−1.2%0.0%0.0%−3.6%
2003−0.1%0.0%0.0%0.0%0.0%0.0%+1.0%+1.0%0.0%−1.7%0.0%0.0%+0.3%
2002+4.4%0.0%0.0%+4.9%0.0%0.0%0.0%0.0%−0.5%0.0%0.0%−0.3%+8.6%
20010.0%0.0%0.0%0.0%0.0%+21.0%0.0%0.0%0.0%0.0%0.0%0.0%+21.0%
2000+1.9%−1.7%+1.0%+8.9%−1.4%0.0%0.0%−5.9%+8.2%0.0%0.0%0.0%+10.7%

Trade level

Closed trades with an exit inside the range.

Win rate
69.2%
153 of 221 closed trades
Avg win
+6.2%
per winning trade
Avg loss
−8.0%
per losing trade
Profit factor
1.74
gross wins ÷ gross losses
Avg holding
4d
entry to exit, calendar days
Trades
221
closed in the range

Closed trades, last 90 days

SymbolEntryExitHeldReturn
NBISshort26 Oct 20262 Nov 20267d−0.39%
STXshort26 Oct 20262 Nov 20267d−2.17%
LRCXshort23 Oct 202630 Oct 20267d−5.29%
TERshort23 Oct 202629 Oct 20266d+5.00%
CRWVshort23 Oct 202626 Oct 20263d+5.39%
APPshort15 Oct 202622 Oct 20267d−1.35%
WDCshort15 Oct 202622 Oct 20267d−6.15%
RKLBshort16 Oct 202619 Oct 20263d+5.00%
STXshort15 Oct 202616 Oct 20261d+5.00%
AXONshort29 Sep 20266 Oct 20267d+1.85%
APPshort1 Oct 20262 Oct 20261d+7.16%
AMATshort15 Sep 202622 Sep 20267d−6.53%
KLACshort15 Sep 202622 Sep 20267d−5.06%
WDCshort15 Sep 202622 Sep 20267d−2.28%
HONAshort2 Sep 202610 Sep 20268d+2.78%

Daily return series 5 Jan 2000 to 3 Nov 2026, supplied by the provider. Data before 3 Jan 2000 is a backtest: simulated results are a hypothesis, not a promise. Past performance does not predict future returns. Your own results depend on your position sizes, fills and costs.