The thesis
Dual-momentum is about as pure a trend-following idea as they come: hold the strongest names by 60-day return, and exit when the trend breaks. It runs over a 24-name universe of US large caps — mega-cap tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), healthcare (JNJ, UNH), and staples (PG, KO, WMT). No stock-picking narrative, just relative strength and a stop.
Recent activity
The more interesting story right now is what the strategy isn't doing. Every scheduled run from 2026-08-27 through 2026-09-03 reports the same line: 0 executed, 0 rejected, cash $10,000, total $10,000. The book is 100% cash and has been flat for at least a week. That is a feature, not a bug — a trend follower with nothing trending strongly enough to hold should sit out. But it does mean the live track record is currently generating no signal, and the paper account has yet to deploy a cent. There are no open positions to discuss.
Backtest performance
Over 451 days the strategy grew $10,000 to $12,349.63 — a 23.5% total return, or roughly 12.5% CAGR. The shape of that return is classic momentum:
- Sharpe 0.95 — respectable, not spectacular
- Max drawdown 15.67% — moderate
- Win rate 28.79% across 136 trades — low, as expected; a handful of large winners carry a majority of small losers
- Turnover 2,638% — very high, though total fees were a modest $136
The low win rate is not a red flag on its own; it is the signature of cut-losses-let-winners-run. It does make the strategy psychologically and operationally demanding, and it leans heavily on a few trades going right.
Validation: it did not pass
Here is the part that deserves caution. The walk-forward validation failed its gate. Across 4 folds, 3 were positive, but the second fold (2025-01-22 to 2025-07-05) lost 7.31% with a Sharpe of -1.05 and a 17.15% drawdown — worse than the full-period drawdown. The other folds were strong (fold 3 returned 25.59% at Sharpe 3.32), which is exactly the concern: performance is concentrated in favourable regimes.
The deflated statistics tell the tale. Probabilistic Sharpe (PSR) is a healthy 0.893, but the Deflated Sharpe Ratio is only 0.476 — below the confidence we'd want after 6 trials. Out-of-sample return was 13.34% (OOS Sharpe 2.15), which is encouraging, yet the overall verdict is passed: false. The framework is telling us the edge may not survive multiple-testing scrutiny.
Verdict
Dual-momentum is a coherent, low-fee strategy with a plausible edge and a strong recent out-of-sample fold. But two things temper enthusiasm: it flunked its validation gate on regime-sensitivity and deflated-Sharpe grounds, and it is currently idle in cash with no live P&L to show. The honest read: promising in trending markets, fragile in choppy ones, and unproven live. Worth watching — not yet worth conviction.