Surmount · investment strategy
by Quantbase · via Surmount
ORB Breakout Strategy is an academic-grade, institutional execution model built directly upon the structural frameworks outlined in Zarattini & Aziz’s definitive study, "Can Day Trading Really Be Profitable?".
Description from Surmount
of the return and risk figures:as the source publishes them
What $10,000 would have become, from the strategy's own published history, against the S&P 500 over the same dates. The basis is labelled.
Each rule is quoted word for word from the strategy's own documents.
“Long exposure is captured via TQQQ (3x Long Nasdaq-100), while bearish shifts are captured using SQQQ (3x Inverse Nasdaq-100)”
“Positions are completely flattened to 100% cash at 15:55 ET daily”
“Position sizes are mathematically adjusted on every single trade to risk exactly 1% of total account equity against a strict 5% ATR protective boundary”
“captures pure intraday momentum by isolating the net directional bias of the market's initial opening range bar”
1 positions as of 2026-10-20
by the source.
Fitted to 10 returns (model) from 2026-09-02 to 2026-10-19. An estimate, not holdings: it can't name stocks.
· : 0.19 · Too loose a fit for a verdict; shown as a guide.
Beta to the S&P 500: 0.96 (90%: 0.96 to 0.96)
Compares the stated rules with the holdings (or, where none are published, a mix estimated from returns), using tests fixed before any results were seen.
0.0% of weight in (IVV: 3.0%)
No funds
No stated fossil-fuel rule; the exposure is shown for reference. : 100% · 2026-10-20
0.0% of weight in (SPY: 0%)
Fewer than 70% of the holdings could be identified, so there’s no verdict. : 0% · 2026-10-20
Strategies that share its Short-term trading label, from other sources first, strongest risk-adjusted return first.
Composer Technologies · Composer
Collective2
How much of what we look for this strategy has, and why anything is missing. Fields that don't apply to it aren't counted.
2 missing
The text the rules are quoted from, with where it came from.
ORB Breakout Strategy is an academic-grade, institutional execution model built directly upon the structural frameworks outlined in Zarattini & Aziz’s definitive study, "Can Day Trading Really Be Profitable?". This institutional-grade strategy captures pure intraday momentum by isolating the net directional bias of the market's initial opening range bar. Rather than chasing delayed, high-risk momentum extensions, the model instantly assesses early institutional order flow to establish an directional anchor for the rest of the trading day. Engineered for Precision Risk Management: Unlike retail breakout strategies that ignore ambient market environments, this model utilizes a backward-looking 14-day historical Average True Range (ATR) volatility matrix. Position sizes are mathematically adjusted on every single trade to risk exactly 1% of total account equity against a strict 5% ATR protective boundary. Long exposure is captured via TQQQ (3x Long Nasdaq-100), while bearish shifts are captured using SQQQ (3x Inverse Nasdaq-100)—allowing the strategy to target premium absolute returns across both bull and bear market cycles. Primary Traded Assets: TQQQ / SQQQ (Ultra-liquid thematic equity proxies). Core Architecture: Stateless intraday directional tracking with dynamic ATR risk-normalization. Risk Profile: Active/Tactical. Positions are completely flattened to 100% cash at 15:55 ET daily, eliminating overnight macro gap risk entirely.
ORB Breakout Strategy is an academic-grade, institutional execution model built directly upon the structural frameworks outlined in Zarattini & Aziz’s definitive study, "Can Day Trading Really Be Profitable?".
Every value on file, each labelled with its calculation basis and as-of date.
| Asset classes / instruments | equity | 2026-10-20 |
| Minimum investment | $100 | 2026-10-20 |
| Industry weights (Surmount) | Financial Services: 100.0% | 2026-10-20 |
| Investors following (Surmount) | 1 | 2026-10-20 |
| Annual return (Surmount tracking) (model tracking) | 17.63% | ||
| Total return (Surmount tracking) (model tracking) | 260.70% |
| Maximum drawdown (Surmount tracking) (model tracking) | -30.16% |
| Risk score (Surmount) | 2.16 | 2026-10-20 |
Composer Technologies · Composer
Composer Technologies · Composer
