The thesis
Dual-momentum is one of the oldest ideas in systematic trading: hold what's already working, and step aside when it stops. This implementation ranks a 24-name large-cap universe — the usual megacap suspects across tech, financials, healthcare, staples, and energy (AAPL, MSFT, NVDA, JPM, UNH, XOM and friends) — by their trailing 60-day return, holds the strongest trends, and exits on a trend break. It is currently flagged live.
The appeal is clarity. There is no fundamental view to be wrong about, just a rule that leans into persistence and cuts losers. The cost of that simplicity shows up everywhere else in the data.
Headline performance
On the full backtest the strategy looks respectable: +23.5% total return, final equity of $12,349 on a $10k book, a 12.5% CAGR over 451 days, a Sharpe of 0.95, and a max drawdown of 15.67%. That is a serviceable risk-adjusted profile for a long-only rotational strategy.
Two numbers temper the enthusiasm. The win rate is just 28.79% across 136 trades — fewer than one trade in three is a winner. That is normal for momentum (a handful of large runners carry the book), but it means the equity curve depends on letting winners run and is vulnerable if the big trends don't show up. And turnover is 2,638% — this strategy churns, and fees ($136 across the backtest) are a permanent drag on a small account.
What validation says
Here is the part that deserves a caveat banner: validation did not pass. Across four walk-forward folds, three were positive, but the record is uneven. Fold 1 returned +5.85% (Sharpe 1.23), fold 3 was excellent at +25.59% (Sharpe 3.32), and fold 4 added +13.34% out-of-sample (Sharpe 2.15). But fold 2 lost 7.31% with a 17.2% drawdown and a −1.05 Sharpe — a full regime where trend-following simply didn't work.
The deflated statistics confirm the unease. With 6 trials in the search, the Probabilistic Sharpe Ratio sits at 0.89, but the Deflated Sharpe Ratio is only 0.48 — below the confidence bar you'd want before trusting the edge isn't an artifact of selection. In plain terms: the backtest Sharpe survives once, but not once you account for how many variants were tried.
Recent activity: a very quiet week
Live behaviour is almost eventless. The last six scheduled runs (Sep 30 through Oct 7) all report 0 executed, 0 rejected, with the book flat at $10,000 in cash. No trend currently clears the entry rule, so the strategy is sitting out — which is exactly what a trend model should do in a trendless tape, but it also means zero live P&L to evaluate so far.
The verdict
Dual-momentum is a transparent, disciplined strategy with a credible backtest and genuine regime risk. The low win rate and high turnover are structural, not flaws. The real flag is the failed validation and soft DSR: treat the 23.5% as an upper bound, not an expectation, and watch whether live trading eventually confirms folds 3 and 4 — or repeats fold 2.