Shield
by Ordertune · part of Institutional Alpha
- Trend following, short only
- Risk elevated
Shield is a short-side trend following model built to protect when the long-term trend breaks. It goes short once the trend has broken and selling momentum appears, and stays short while the downtrend lasts. It is rarely active and meant as a hedge for extended market declines. Short selling needs a margin account at Alpaca.
- Universe
- Nasdaq100
- Holding period
- about 16 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.
4 Nov 2025 to 3 Nov 2026 · 251 trading days
Strategy level
What to expect from the strategy as a whole, measured on the daily return series.
- Return
- +4.3%
- compounded over the range
- Volatility
- 4.7%
- annualized
- Max drawdown
- −1.8%
- peak to trough
- Sharpe ratio
- 0.91
- risk-free 0%, annualized
- Sortino ratio
- 2.33
- downside deviation only
- MAR ratio
- 2.32
- return ÷ max drawdown
Equity curve
Compounded from daily returns, net of costs, rebased to 0% at the start of the selected range.
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 | 0.0% | 0.0% | +3.1% | +1.1% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0%* | no data | +4.3%* |
| 2025 | no data | no data | no data | no data | no data | no data | no data | no data | no data | no data | 0.0%* | 0.0% | 0.0%* |
Trade level
Closed trades with an exit inside the range.
- Win rate
- 66.7%
- 2 of 3 closed trades
- Avg win
- +15.5%
- per winning trade
- Avg loss
- −9.7%
- per losing trade
- Profit factor
- 3.18
- gross wins ÷ gross losses
- Avg holding
- 16d
- entry to exit, calendar days
- Trades
- 3
- closed in the range
Closed trades, last 90 days
No trade closed in the last 90 days.
Daily return series 3 Oct 2000 to 3 Nov 2026, supplied by the provider. The provider has not marked a live start, so treat the full series as 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.