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Institutional Alpha

Reverse

by Ordertune · part of Institutional Alpha

  • Intraday mean reversion, long only
  • Risk medium

Reverse trades the intraday risk-on/risk-off rotation between stocks and short-term Treasuries. When equities weaken against short-term government bonds during the session, it buys quality names on the view that this flight to safety reverses before the close, and it exits the same day.

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.

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
+10.2%
compounded over the range
Volatility
8.8%
annualized
Max drawdown
−3.7%
peak to trough
Sharpe ratio
1.37
risk-free 0%, annualized
Sortino ratio
4.00
downside deviation only
MAR ratio
2.75
return ÷ max drawdown

Equity curve

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

BacktestLive since 9 Oct 2026

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%+1.0%+3.5%0.0%0.0%+0.5%+0.5%−0.7%0.0%+5.7%−1.5%*no data+10.2%*

Trade level

Closed trades with an exit inside the range.

Win rate
60.0%
24 of 40 closed trades
Avg win
+3.4%
per winning trade
Avg loss
−2.0%
per losing trade
Profit factor
2.53
gross wins ÷ gross losses
Avg holding
0d
entry to exit, calendar days
Trades
40
closed in the range

Closed trades, last 90 days

SymbolEntryExitHeldReturn
CRWV2 Nov 20262 Nov 20260d−4.31%
INTC2 Nov 20262 Nov 20260d−3.17%
PLTR16 Oct 202616 Oct 20260d−1.44%
CRWV15 Oct 202615 Oct 20260d+13.45%
MU15 Oct 202615 Oct 20260d+6.85%
NBIS15 Oct 202615 Oct 20260d+7.37%
PLTR15 Oct 202615 Oct 20260d+2.43%
PLTR14 Oct 202614 Oct 20260d−0.44%
CPRT11 Sep 202611 Sep 20260d+0.07%
NBIS19 Aug 202619 Aug 20260d−3.62%

Daily return series 2 Aug 2002 to 3 Nov 2026, supplied by the provider. Data before 9 Oct 2026 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.