Thesis
dual-momentum is a straightforward trend-follower: hold the strongest trending names by 60-day return, and exit when the trend breaks. It fishes in a 24-name pond of US large caps spanning tech (AAPL, MSFT, GOOGL, NVDA), financials (JPM, BAC, V, MA), healthcare (JNJ, UNH, PFE, ABBV), staples (PG, KO, WMT, COST), and industrials/energy (XOM, CVX, CAT, HON). It is a live strategy, so its behavior is worth watching closely.
Recent activity
The most striking thing about the last week is that nothing happened. Every scheduled run from 2026-08-11 through 2026-08-18 reports 0 executed, 0 rejected, with cash and total equity both pinned at $10,000. The book is entirely in cash and has been for days. For a trend-follower, sitting out is a legitimate stance — no name is passing its entry bar — but it also means the strategy is currently contributing zero, and there are no fresh trades to judge conviction by.
Backtest performance
Over 451 days the backtest returned 23.5%, growing $10,000 to $12,349.63, for a 12.52% CAGR. Sharpe is a middling 0.95 and max drawdown was 15.67%. Two numbers stand out. The win rate is just 28.79% across 136 trades — classic momentum, where a handful of large winners carry many small losers. And turnover is a hefty 2,638%, though total fees were a modest $136. That churn is the engine's cost of chasing trends, and it is a real drag in live conditions.
Validation — the caveat
Here the picture cools. The walk-forward validation did not pass. Across four folds, three were positive but fold 2 (Jan–Jul 2025) lost 7.31% with a -1.05 Sharpe and a 17.15% drawdown — the strategy's weakness is a choppy, trendless regime where it gets whipsawed. The out-of-sample return of 13.34% (OOS Sharpe 2.15) and fold 3's 25.59% are encouraging, but the deflated Sharpe ratio (DSR) of 0.476 and 6 trials flag meaningful overfitting risk: after accounting for how many variants were tried, the edge shrinks. The probabilistic Sharpe (PSR 0.893) is more reassuring, but DSR is the stricter, more honest gauge.
Verdict
dual-momentum has a coherent thesis and a genuinely strong best-case fold, but the evidence is uneven: a low win rate, punishing turnover, one badly negative fold, and a failed robustness gate all argue against treating the 23.5% headline at face value. The all-cash posture this week is a reminder that the strategy only earns when clear trends exist. Treat it as promising but unproven — worth running live in a paper book to gather more out-of-sample evidence, not yet worth outsized conviction.