The thesis
Dual-momentum is a trend-following strategy with a simple mandate: hold the strongest trending names by 60-day return, and exit when the trend breaks. It runs over a concentrated universe of 24 US large caps — mega-cap tech (AAPL, MSFT, GOOGL, NVDA), financials (JPM, BAC, V, MA), healthcare, and consumer staples. The idea is to ride winners and cut positions the moment relative strength fades. It is currently classified as live.
Recent activity
Here the picture is quiet to the point of concern. Across six scheduled runs from 2 September to 9 September 2026, the strategy executed zero trades — every run reports "0 executed, 0 rejected," with cash and total equity both parked at exactly $10,000. In other words, the portfolio is fully in cash and has been for over a week. That is a legitimate state for a trend follower when no name clears its momentum threshold, but a prolonged flat line means the strategy is currently contributing nothing, neither gains nor protection.
Backtest performance
On paper, the numbers are respectable. 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 max drawdown of 15.67%. Two figures deserve scrutiny. First, the win rate is just 28.79% across 136 trades — characteristic of momentum, where a few large winners must outrun many small losers. That profile is only durable if the winners keep paying. Second, turnover of 2,638% is extremely high, implying heavy churn; the backtest's modest total fees ($136) may understate real-world slippage.
Validation: the red flag
The walk-forward validation did not pass. There is genuine nuance here. Three of four folds were positive, and out-of-sample results look encouraging in isolation — a 13.34% OOS return at a 2.15 OOS Sharpe, plus a Probabilistic Sharpe Ratio of 0.893. But the Deflated Sharpe Ratio is only 0.476, and with six trials in the search, that deflation is what sinks the verdict: adjusted for how many configurations were tried, the edge is not statistically convincing.
The fold detail explains the fragility. Fold 2 (Jan–Jul 2025) lost 7.31% with a 17.15% drawdown and a Sharpe of -1.05 — a rough, choppy regime where the trend signal whipsawed. Folds 3 and 4 then recovered strongly (25.59% and 13.34%). The strategy works well in clean trends and suffers badly in range-bound markets.
Verdict
Dual-momentum has a coherent thesis and solid trending-market returns, but three things temper the enthusiasm: a validation gate it failed on deflated-Sharpe grounds, a low win rate that depends on outlier winners, and a portfolio currently doing nothing. We would treat its live status cautiously until it either passes validation on a revised trial budget or demonstrates edge in the next trending regime.