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Institutional Alpha

Day Ripper

by Ordertune · part of Institutional Alpha

  • Intraday mean reversion, long only
  • Risk medium

The Day Ripper is an intraday mean reversion model that opens and closes its positions within the same session. It buys quality names that sell off sharply during the day, on the view that the sharpest part of an oversold move rebounds fastest, and aims to capture the bounce off the intraday low before the close.

Universe
Nasdaq100
Holding period
intraday, closed the same day
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.

4 Nov 2021 to 3 Nov 2026 · 1,275 trading days

Strategy level

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

Annual return (CAGR)
+14.9%
per year; +99.8% over the window
Volatility
9.4%
annualized
Max drawdown
−4.9%
peak to trough
Sharpe ratio
1.50
risk-free 0%, annualized
Sortino ratio
4.32
downside deviation only
MAR ratio
20.34
return ÷ max drawdown

Equity curve

Compounded from daily returns, net of costs, rebased to 0% at the start of the selected range.

BacktestLive since 12 Jan 2010

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
2026−1.0%+0.7%−0.5%−0.5%+0.8%−0.5%+0.4%+0.2%+0.8%+8.4%−4.2%*no data+4.2%*
2025+2.4%+3.5%+7.3%+10.7%+0.2%+1.1%+1.0%+3.4%+0.9%−0.3%+9.4%−0.4%+46.0%
2024+0.3%+1.1%+0.3%−0.2%−0.4%0.0%+1.0%+4.5%+0.3%+0.3%−0.4%−0.4%+6.4%
20230.0%+0.2%+1.1%+0.2%+0.9%−0.3%+0.3%−1.3%+1.2%+1.6%+0.3%0.0%+4.1%
2022+10.4%+7.9%−1.8%+0.1%−0.8%−0.7%−0.6%+0.3%+0.3%0.0%+0.5%+0.7%+16.6%
2021no datano datano datano datano datano datano datano datano datano data−0.3%*+1.9%+1.7%*

Trade level

Closed trades with an exit inside the range.

Win rate
60.8%
216 of 355 closed trades
Avg win
+2.7%
per winning trade
Avg loss
−1.7%
per losing trade
Profit factor
2.45
gross wins ÷ gross losses
Avg holding
0d
entry to exit, calendar days
Trades
355
closed in the range

Closed trades, last 90 days

SymbolEntryExitHeldReturn
ALAB2 Nov 20262 Nov 20260d−5.19%
AMD2 Nov 20262 Nov 20260d−2.47%
DDOG2 Nov 20262 Nov 20260d−2.78%
FTNT2 Nov 20262 Nov 20260d−3.44%
MRVL2 Nov 20262 Nov 20260d−7.31%
AMZN30 Oct 202630 Oct 20260d+3.36%
DDOG30 Oct 202630 Oct 20260d−7.15%
ALAB15 Oct 202615 Oct 20260d+5.96%
LITE15 Oct 202615 Oct 20260d+2.90%
NBIS15 Oct 202615 Oct 20260d+7.37%
SNDK15 Oct 202615 Oct 20260d+6.18%
STX15 Oct 202615 Oct 20260d+1.59%
NBIS14 Oct 202614 Oct 20260d−3.20%
ALAB13 Oct 202613 Oct 20260d+5.20%
NBIS13 Oct 202613 Oct 20260d+3.17%
SNDK13 Oct 202613 Oct 20260d+5.41%
STX13 Oct 202613 Oct 20260d+7.68%
MSTR8 Oct 20268 Oct 20260d+2.11%
BKR11 Sep 202611 Sep 20260d+2.86%
DASH9 Sep 20269 Sep 20260d+1.58%
MELI9 Sep 20269 Sep 20260d+1.12%
SHOP9 Sep 20269 Sep 20260d−1.68%
MRVL31 Aug 202631 Aug 20260d+0.97%
ALAB19 Aug 202619 Aug 20260d+1.43%
AVGO19 Aug 202619 Aug 20260d−1.14%
CRWD19 Aug 202619 Aug 20260d−0.83%
INTC19 Aug 202619 Aug 20260d+0.18%
KLAC19 Aug 202619 Aug 20260d+0.41%
AVGO18 Aug 202618 Aug 20260d−0.14%

Daily return series 5 Jan 2000 to 3 Nov 2026, supplied by the provider. Data before 12 Jan 2010 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.

Day Ripper · Institutional Alpha · Order Dynamics Markets