Thesis
Dual-momentum is a classic trend-follower: it holds the strongest names by 60-day return and exits when the trend breaks. The universe is a concentrated set of 24 US large-caps spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), healthcare, staples, and energy. The design bet is simple — ride winners, cut laggards — and the trade statistics bear that character out.
Recent Activity
The most notable recent signal is the absence of one. Across six scheduled runs from 3 to 10 September, the strategy executed zero trades, sitting flat at $10,000 in cash the entire time. No positions, no rejections — pure cash. That is consistent with a trend-break exit having flushed holdings and no candidate currently clearing the momentum threshold. It is not a malfunction, but it is worth watching: a momentum book that stays fully in cash is either patiently disciplined or quietly missing a market it should be participating in. Right now we cannot tell which.
Backtest Performance
Over 451 days the strategy returned 23.5% (12.52% CAGR), ending at $12,349.63, with a Sharpe of 0.95 and a max drawdown of 15.67%. The win rate is a low 28.79% across 136 trades — but that is textbook momentum, where a minority of large winners pays for a majority of small stopped-out losses. Turnover is heavy at 2,638%, though fees stayed modest ($136 total, no FX cost). The asymmetric-payoff profile is intact and economically coherent.
Validation — The Caveat
Here the picture cools. Walk-forward validation failed. Three of four folds were positive, but fold 2 (Jan–Jul 2025) lost 7.31% with a Sharpe of −1.05 and a 17.15% drawdown across 60 trades — the strategy churned hard in a hostile regime and got hurt. Out-of-sample return was 13.34% at a Sharpe of 2.15, which is encouraging, but the deflated Sharpe ratio (DSR 0.476) sits below the confidence bar once you account for the 6 trials searched. The probabilistic Sharpe of 0.893 is healthy in isolation, but DSR is the honest number after multiple-testing adjustment, and it is not clearing the gate.
Verdict
Dual-momentum has a sound thesis, a coherent trade profile, and a respectable headline return. But the low win rate demands that the big winners keep showing up, fold 2 proves the drawdown risk is real in the wrong regime, and validation has not confirmed a durable edge. The current all-cash stance is a reasonable place for a trend-follower to wait. Treat this as a promising candidate on probation — not a proven performer — until it clears validation and demonstrates it can redeploy when a trend actually returns.