Risk-Flow Arbitrage
by Ordertune · part of Institutional Alpha
- Mean reversion, long only
- Risk medium
Risk-Flow Arbitrage is a mean reversion model that trades the risk-on/risk-off rotation between stocks and short-term Treasuries. When equities weaken against short-term government bonds, a sign of capital fleeing to safety, it buys quality names and holds until the broader market recovers, usually for about a week.
- Universe
- Nasdaq100
- Holding period
- about 5 trading days on average
- Order types
- market, limit
€479
Institutional Alpha bundle · 25 strategies · per month, net
Subscribe to Institutional AlphaOrders go to your own Alpaca account. You set the position size and approve each order until you switch to automatic.
7 Aug 2002 to 3 Nov 2026 · 6,296 trading days
Strategy level
What to expect from the strategy as a whole, measured on the daily return series.
- Annual return (CAGR)
- +11.4%
- per year over the full history
- Volatility
- 7.9%
- annualized
- Max drawdown
- −11.4%
- peak to trough
- Sharpe ratio
- 1.36
- risk-free 0%, annualized
- Sortino ratio
- 2.44
- downside deviation only
- MAR ratio
- 111.35
- 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.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +1.6% | +1.8% | −1.1% | +6.5% | 0.0% | 0.0% | +2.8% | +2.7% | +0.6% | −1.3% | 0.0%* | no data | +14.2%* |
| 2025 | +6.5% | −0.1% | −3.9% | +7.7% | 0.0% | +0.9% | 0.0% | +1.7% | 0.0% | 0.0% | +5.9% | +7.1% | +28.3% |
| 2024 | +2.1% | +4.4% | 0.0% | +1.7% | 0.0% | +2.0% | +1.4% | +2.2% | +1.0% | −0.8% | −1.6% | +1.1% | +14.0% |
| 2023 | +0.4% | 0.0% | +1.4% | +6.5% | +1.0% | +0.6% | +1.8% | +3.4% | +1.2% | −1.5% | 0.0% | +0.4% | +16.1% |
| 2022 | +3.8% | +2.1% | +1.0% | −6.1% | +0.2% | −2.5% | +3.6% | 0.0% | −1.7% | +2.1% | +0.2% | +2.9% | +5.2% |
| 2021 | 0.0% | 0.0% | +2.4% | 0.0% | +0.9% | 0.0% | +1.2% | +1.5% | +2.2% | +1.1% | 0.0% | +1.8% | +11.7% |
| 2020 | 0.0% | +0.8% | +2.7% | 0.0% | 0.0% | +0.6% | +2.0% | 0.0% | +3.8% | 0.0% | 0.0% | +0.4% | +10.8% |
| 2019 | 0.0% | 0.0% | +2.8% | 0.0% | −0.8% | +2.4% | +1.1% | +0.2% | 0.0% | −1.1% | 0.0% | +3.0% | +7.8% |
| 2018 | +0.6% | −2.0% | +2.6% | +3.4% | 0.0% | 0.0% | −0.1% | +5.7% | +0.8% | −2.3% | +3.2% | −2.2% | +9.8% |
| 2017 | +1.0% | 0.0% | 0.0% | +0.3% | +0.2% | +0.3% | 0.0% | +0.6% | −0.3% | −0.8% | 0.0% | +0.9% | +2.2% |
| 2016 | −4.4% | −0.9% | 0.0% | 0.0% | +2.3% | +1.0% | 0.0% | 0.0% | +0.4% | +4.1% | +0.7% | +1.2% | +4.2% |
| 2015 | +0.6% | +5.4% | +0.6% | 0.0% | +0.9% | +1.2% | +1.8% | −2.5% | 0.0% | −0.9% | +2.6% | +2.8% | +13.0% |
| 2014 | −0.3% | +0.7% | +2.2% | +0.9% | +0.3% | +0.3% | −0.6% | +0.7% | +0.5% | −2.6% | 0.0% | +0.6% | +2.6% |
| 2013 | +2.6% | +1.3% | +0.2% | +0.9% | +0.5% | +4.4% | −1.1% | +0.3% | +0.1% | +3.1% | +0.1% | +0.3% | +13.2% |
| 2012 | 0.0% | 0.0% | +2.0% | 0.0% | −4.0% | +0.9% | +1.4% | 0.0% | +1.5% | +0.1% | +1.7% | 0.0% | +3.4% |
| 2011 | +1.4% | +0.2% | +1.1% | +0.7% | +1.2% | +1.4% | −0.6% | −8.1% | +8.2% | +1.6% | −0.2% | +1.0% | +7.5% |
| 2010 | +0.4% | +0.4% | 0.0% | +1.7% | +2.7% | +1.2% | +0.5% | +1.8% | 0.0% | +2.1% | +0.9% | 0.0% | +12.4% |
| 2009 | 0.0% | +0.2% | −0.3% | 0.0% | +0.8% | +1.3% | +3.7% | 0.0% | +1.6% | +1.3% | +0.2% | +1.7% | +11.0% |
| 2008 | −5.4% | +2.4% | +1.9% | +3.4% | +0.6% | −1.8% | −0.8% | +1.1% | −3.9% | +5.5% | +5.9% | +1.3% | +9.9% |
| 2007 | +0.3% | +1.0% | 0.0% | +1.5% | 0.0% | +2.7% | 0.0% | +4.8% | +0.3% | 0.0% | +3.1% | +2.5% | +17.5% |
| 2006 | −0.6% | −0.6% | +2.0% | −2.1% | −8.0% | +2.4% | +2.4% | 0.0% | 0.0% | +1.0% | 0.0% | +0.4% | −3.6% |
| 2005 | +2.3% | +1.5% | +0.6% | +2.0% | +0.6% | +0.4% | 0.0% | +0.2% | +1.4% | +0.5% | +0.6% | +2.5% | +13.4% |
| 2004 | −0.2% | +1.1% | +1.4% | +1.3% | +2.6% | +1.9% | −3.6% | −1.5% | −0.7% | +5.3% | 0.0% | +2.4% | +10.2% |
| 2003 | +2.4% | −0.3% | +0.8% | +5.1% | 0.0% | +1.0% | +3.1% | +1.1% | +1.3% | +3.3% | +5.3% | +2.2% | +28.3% |
| 2002 | no data | no data | no data | no data | no data | no data | no data | +4.1% | +3.8% | +5.5% | +3.5% | +0.1% | +18.2% |
Trade level
Closed trades with an exit inside the range.
- Win rate
- 68.7%
- 717 of 1043 closed trades
- Avg win
- +3.2%
- per winning trade
- Avg loss
- −3.0%
- per losing trade
- Profit factor
- 2.39
- gross wins ÷ gross losses
- Avg holding
- 6d
- entry to exit, calendar days
- Trades
- 1,043
- closed in the range
Closed trades, last 90 days
| Symbol | Entry | Exit | Held | Return |
|---|---|---|---|---|
| AMZN | 14 Oct 2026 | 22 Oct 2026 | 8d | +1.00% |
| CRWD | 14 Oct 2026 | 22 Oct 2026 | 8d | −4.33% |
| CSCO | 15 Oct 2026 | 22 Oct 2026 | 7d | −4.43% |
| PLTR | 14 Oct 2026 | 22 Oct 2026 | 8d | −0.91% |
| TSLA | 14 Oct 2026 | 22 Oct 2026 | 8d | +2.08% |
| AMZN | 16 Sep 2026 | 18 Sep 2026 | 2d | +3.49% |
| CSX | 16 Sep 2026 | 18 Sep 2026 | 2d | −0.70% |
| AMD | 19 Aug 2026 | 28 Aug 2026 | 9d | +2.13% |
| CPRT | 25 Aug 2026 | 28 Aug 2026 | 3d | +1.09% |
| CRWD | 20 Aug 2026 | 28 Aug 2026 | 8d | +18.65% |
| NBIS | 19 Aug 2026 | 28 Aug 2026 | 9d | −8.42% |
Daily return series 7 Aug 2002 to 3 Nov 2026, supplied by the provider. Data before 22 Jul 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.