Thesis
Dual-momentum is a straightforward trend-follower: hold the strongest names by 60-day return from a 24-stock large-cap universe (AAPL, MSFT, NVDA, JPM, V, JNJ, XOM and peers), and exit when the trend breaks. The logic is well-trodden — ride winners, cut the rest — and the universe is liquid and defensible. It is currently flagged live.
Recent activity
The last six scheduled runs (2026-08-31 through 2026-09-07) each report the same line: 0 executed, 0 rejected, cash $10,000, total $10,000. In other words, the strategy has been fully in cash for over a week, with no qualifying trend signals strong enough to trigger entries. There are no discretionary comments — only the automated run log.
This is by design rather than a fault: a trend-follower with no trend to follow should hold cash. But it is worth flagging that the live book has done nothing recently, so the case for the strategy still rests almost entirely on its backtest and validation history.
Backtest performance
Over 451 days the backtest returned 23.5% (final equity $12,349.63), a CAGR of 12.52%, with a Sharpe of 0.95 and a max drawdown of 15.67%. Two numbers deserve scrutiny:
- Win rate of 28.79% across 136 trades. That is low in absolute terms but typical of momentum — the payoff profile is a few large winners subsidising many small losses. It is not itself a red flag, but it does mean returns are concentrated and path-dependent.
- Turnover of 2,638%. That is very high. Fees were modest here ($136, zero FX cost), but in a higher-cost or higher-slippage environment that churn could meaningfully erode the edge.
Validation
The formal validation did not pass, and this is the most important caveat. Across four walk-forward folds, three were positive:
- Fold 1 (Aug 2024–Jan 2025): +5.85%, Sharpe 1.23
- Fold 2 (Jan–Jul 2025): −7.31%, Sharpe −1.05, 17.15% drawdown
- Fold 3 (Jul–Dec 2025): +25.59%, Sharpe 3.32
- Fold 4 (Dec 2025–May 2026): +13.34%, Sharpe 2.15
The recent out-of-sample folds are genuinely strong, and OOS return (13.34%) with OOS Sharpe (2.15) is encouraging. The Probabilistic Sharpe Ratio of 0.893 is respectable. But the Deflated Sharpe Ratio of 0.476 — which discounts for the six trials run — sits below the confidence threshold, which is why the gate held the strategy back. Fold 2 shows what a hostile regime does to it: a sharp, extended drawdown when momentum reverses.
Verdict
Dual-momentum has a clean thesis and a couple of impressive recent folds, but the honest read is promising, not proven. The failed DSR, the ugly Fold 2, the low win rate, and the heavy turnover all argue for caution — and the current all-cash stance means there is no live evidence to lean on yet. I would keep it live and observed, but size it conservatively until it clears validation and demonstrates the edge with real trades rather than a favourable backtest window.