Thesis
Dual-momentum runs a familiar, well-documented idea: hold the strongest trending names measured by 60-day return, and exit when the trend breaks. It fishes from a 24-name large-cap pool spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), healthcare (JNJ, UNH), and consumer staples (PG, KO, WMT). The logic is intuitive — ride winners, cut losers — and the strategy is currently flagged live.
Recent Activity
The most striking feature of the last week is inactivity. The six most recent scheduled runs — from July 29 through August 5 — each report 0 executed, 0 rejected, with cash and total equity both parked at $10,000. In other words, nothing in the universe currently clears the trend filter, so the book is sitting entirely in cash. There are no open positions and no recent fills.
That is not necessarily a flaw. A trend-following system with a strict exit rule should go flat when no durable uptrends are present, and holding cash beats forcing trades into a choppy tape. But a live strategy that hasn't deployed a dollar in over a week is, for now, an idea in waiting rather than a working engine.
Backtest Performance
Over 451 days the backtest returned 23.5%, ending at $12,349.63 in equity, for a 12.52% CAGR. Risk-adjusted results are middling: a Sharpe of 0.95 and a max drawdown of 15.67%. Two numbers deserve attention. First, the win rate is just 28.79% across 136 trades — typical of momentum, where a minority of large winners carries a majority of small losers. Second, turnover is 2,638%, extremely high churn that racked up $136 in fees. In a live account with wider spreads and slippage, that turnover is a real headwind the paper backtest understates.
Validation and Robustness
Here the picture turns cautionary: the walk-forward validation did not pass. Across four out-of-sample folds, three were positive but one — the Jan–Jul 2025 fold — lost 7.31% with a -1.05 Sharpe and a 17.15% drawdown on elevated trading (60 trades). The strong folds are genuinely strong (fold 3 returned 25.59% at a 3.32 Sharpe), but that dispersion is the concern: performance is regime-dependent, clustering in trending markets and bleeding in choppy ones.
The deflated metrics tell the same story with nuance. The Probabilistic Sharpe Ratio (0.893) is encouraging, but the Deflated Sharpe Ratio of 0.476 — which penalizes for the six trials run — sits near a coin flip. Combined with the failed fold, the overall verdict of not passed looks appropriate.
Verdict
Dual-momentum has a sound thesis and a headline return that flatters it. But three risks stand out: a fragile, regime-sensitive edge that failed validation; punishing turnover that will erode live returns; and a current book that isn't trading at all. This is a strategy worth watching in a trending market — and worth treating skeptically until it survives out-of-sample conditions and actually puts capital to work.