The thesis
Dual-momentum is a trend-follower: hold the strongest trending names by 60-day return, and exit when the trend breaks. It runs over a 24-name large-cap universe spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), healthcare (JNJ, UNH), staples (PG, KO, WMT) and energy (XOM, CVX). It is currently flagged live.
Recent activity: idle in cash
The most striking fact this week is inactivity. The last six scheduled runs — from 2026-08-17 through 2026-08-24 — each report 0 executed, 0 rejected, with cash and total both parked at $10,000. No names are clearing the momentum filter, so the strategy is sitting entirely in cash rather than forcing exposure. That is disciplined behaviour by design, but it also means live capital is currently doing nothing, and there are no recent live trades to evaluate.
Backtest performance
On history, the record is respectable if unspectacular. Over 451 days the backtest returned 23.5% (final equity $12,349.63), a 12.52% CAGR, with a Sharpe of 0.95 and a 15.67% max drawdown. Two numbers deserve scrutiny. First, the win rate is just 28.79% across 136 trades — this is a strategy that loses often and relies on a few large winners, typical of trend-following but demanding of patience. Second, turnover is 2,638%, extremely high churn that racked up $136 in fees; in a higher-cost or higher-slippage environment, that turnover could erode the edge materially.
Validation: it did not pass
The formal walk-forward check returned passed: false, and the fold detail shows why. Across four folds, three were positive but fold 2 (Jan–Jul 2025) lost 7.31% with a 17.15% drawdown and a Sharpe of -1.05 — a genuine regime where the strategy broke down. The other folds were strong (fold 3 returned 25.59% at Sharpe 3.32), which flatters the average but underlines regime-dependence.
The headline statistics are mixed. The PSR of 0.893 is encouraging, but the Deflated Sharpe Ratio is only 0.476 — below the 0.5 threshold one would want after adjusting for the 6 trials searched. Note also that the reported out-of-sample figures (13.34% return, 2.15 Sharpe) exactly match fold 4 alone, so treat that OOS Sharpe as a single-window reading, not a robust estimate.
Verdict
Dual-momentum is a plausible, honestly-behaving trend strategy with a coherent thesis and sensible cash discipline. But the case for it is not yet made: it failed validation, its edge concentrates in a minority of trades, its turnover is punishing, and it visibly cratered in one of four test windows. The current all-cash stance is a feature, not a bug — yet a live strategy that trades nothing also earns nothing. I would keep it in observation, not conviction, until it clears the DSR bar and demonstrates it can survive a fold-2-style regime with real capital.