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Institutional Alpha

Intraday Liquidity Hunter

by Ordertune · part of Institutional Alpha

  • Mean reversion, long only
  • Risk medium

The Intraday Liquidity Hunter is a mean reversion model that leans into intraday sell-offs. It buys quality leaders after a sharp, one-sided drop during the session has pushed the price well below its short-term equilibrium, and it holds for the move back toward the short-term average over the following days.

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.

2 Jan 2026 to 3 Nov 2026 · 211 trading days

Strategy level

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

Return
+61.6%
compounded over the range
Volatility
16.7%
annualized
Max drawdown
−7.3%
peak to trough
Sharpe ratio
3.52
risk-free 0%, annualized
Sortino ratio
9.71
downside deviation only
MAR ratio
8.46
return ÷ max drawdown

Equity curve

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

BacktestLive since 3 Jan 2005

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+5.9%+4.9%+6.0%+2.3%+12.6%+8.4%+8.6%+4.5%−0.9%−3.4%+1.0%*no data+61.6%*

Trade level

Closed trades with an exit inside the range.

Win rate
69.2%
83 of 120 closed trades
Avg win
+4.9%
per winning trade
Avg loss
−4.3%
per losing trade
Profit factor
2.56
gross wins ÷ gross losses
Avg holding
4d
entry to exit, calendar days
Trades
120
closed in the range

Closed trades, last 90 days

SymbolEntryExitHeldReturn
AMZN30 Oct 20262 Nov 20263d+5.00%
ADSK29 Oct 202630 Oct 20261d+5.00%
FTNT29 Oct 202630 Oct 20261d+7.14%
MRNA23 Oct 202627 Oct 20264d−2.27%
CSCO15 Oct 202623 Oct 20268d−5.61%
CRWD20 Oct 202621 Oct 20261d+5.00%
CRWD15 Oct 202619 Oct 20264d−3.40%
FTNT15 Oct 202619 Oct 20264d−4.46%
PANW15 Oct 202619 Oct 20264d−2.39%
AMD12 Oct 202616 Oct 20264d−7.41%
AMAT8 Oct 202614 Oct 20266d−10.31%
MU7 Oct 20268 Oct 20261d+5.97%
REGN28 Sep 20262 Oct 20264d−3.38%
ABNB23 Sep 202628 Sep 20265d−0.90%
PAYX23 Sep 202625 Sep 20262d−7.74%
CSX21 Sep 202624 Sep 20263d+2.67%
ABNB9 Sep 202615 Sep 20266d−0.51%
CSX1 Sep 20268 Sep 20267d−0.29%
FANG25 Aug 20261 Sep 20267d+2.53%
CRWD25 Aug 202627 Aug 20262d+12.30%
PANW26 Aug 202627 Aug 20261d+8.50%
CSCO14 Aug 202626 Aug 202612d+1.05%
PANW19 Aug 202624 Aug 20265d−2.14%
ROST17 Aug 202624 Aug 20267d−0.23%
CRWD19 Aug 202621 Aug 20262d−7.79%
KDP7 Aug 202613 Aug 20266d+5.00%
FANG5 Aug 202610 Aug 20265d+5.00%
TTWO6 Aug 20267 Aug 20261d+5.00%
MAR3 Aug 20265 Aug 20262d−3.10%
ODFL30 Jul 20265 Aug 20266d−0.74%

Daily return series 5 Jan 2000 to 3 Nov 2026, supplied by the provider. Data before 3 Jan 2005 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.