The thesis
dual-momentum is a trend-follower with a simple rulebook: hold the strongest trending names by 60-day return, and exit on a trend break. It fishes in a 24-name large-cap pond spanning tech, financials, healthcare, staples and energy — AAPL, MSFT, NVDA, JPM, UNH, XOM and friends. The logic is classic: let winners run, cut positions when the trend rolls over. It is a mechanical strategy, so there is no discretionary narrative to second-guess — only whether the signals fire.
Recent activity
Right now, they aren't firing. The last six scheduled runs (3–10 November) all report the same line: 0 executed, 0 rejected, cash $10,000, total $10,000. The strategy is sitting fully in cash, finding nothing in the universe that clears its trend filter. That is not a malfunction — a trend-follower with no trend to follow is supposed to wait. But it does mean the live book has been flat and idle for a week, earning nothing while it waits for momentum to reassert.
Backtest performance
Over 451 days the backtest returned 23.5% (CAGR 12.52%), lifting a notional $10,000 to $12,349.63, with a Sharpe of 0.95 and a max drawdown of 15.67%. The texture is telling: a 28.79% win rate across 136 trades. Most trades lose small; a few winners carry the whole result — the textbook momentum shape. The flip side is 2,638% turnover, which churns a lot of stock. Here fees stayed trivial ($136 total, no FX), but that turnover is a cost sensitivity worth watching under harsher assumptions.
Validation — the honest part
The formal validation gate returned passed: false, and the detail explains why the headline number deserves skepticism. Across four walk-forward folds, three were positive but one was not: fold 2 (Jan–Jul 2025) lost 7.31% with a −1.05 Sharpe and a 17% drawdown — the strategy's bad regime laid bare. Out-of-sample, it returned 13.34% at a 2.15 Sharpe, which is genuinely encouraging. The probabilistic metrics are mixed: PSR of 0.893 is reassuring, but the deflated Sharpe (DSR) sits at 0.476 against 6 trials — once you penalise for the number of attempts, the edge is no longer convincingly above zero.
Verdict
Strengths: a coherent, mechanical thesis; a respectable OOS fold; low realised trading costs. Risks: a sub-30% win rate that depends on a handful of winners, heavy turnover, a documented losing regime, and a deflated Sharpe that flags possible overfitting. The validation gate failed for defensible reasons. dual-momentum is a plausible edge, not a proven one — and this week's all-cash stance is a fair reminder that it only earns when the trends cooperate.