The thesis
Dual-momentum is a trend-rider. It screens a 24-name large-cap universe — the usual mega-cap suspects (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT) and a few industrials and energy names — ranks them by 60-day return, holds the strongest trends and cuts a name the moment its trend breaks. It is a simple, well-understood recipe: go with what is working, exit fast when it stops.
Recent activity
There is not much to report, and that is itself the report. Across the six scheduled runs from 6 to 13 November, the strategy executed zero trades every session, holding $10,000 entirely in cash the whole time. No names in the universe are clearing its trend filter right now, so it has stepped aside. That is consistent with how a trend-break exit is supposed to behave — when nothing is trending, it refuses to force a position — but it does mean the live book is currently doing nothing, and a reader checking in today sees a flat line at starting capital.
Backtest and validation
Over 451 days the backtest returned 23.5% (final equity $12,349.63, ~12.5% CAGR) with a Sharpe of 0.95 and a 15.7% max drawdown. The win rate is a low 28.8% across 136 trades — classic trend-following, where a minority of big winners pays for a majority of small, quickly-cut losers. Turnover is heavy at ~2,638%, though realised fee drag stayed modest ($136, no FX cost).
The honest part is the validation, and it did not pass. Three of four walk-forward folds were positive — fold 3 was excellent (+25.6%, Sharpe 3.32) and the most recent out-of-sample fold returned +13.3% at Sharpe 2.15 — but fold 2 lost 7.3% with a 17% drawdown, showing the strategy can bleed when trends whipsaw. More tellingly, while the Probabilistic Sharpe Ratio is a healthy 0.89, the Deflated Sharpe Ratio is just 0.48 once you account for the six trials run. In plain terms: adjusted for how many variants were tried, we cannot confidently say the edge is real rather than lucky.
Strengths and risks
Strengths: a transparent, robust-to-regime logic; strong recent out-of-sample behaviour; and disciplined risk control — it would rather sit in cash than hold a broken trend, which is exactly what it is doing now.
Risks: the failed DSR gate is the headline. The 28.8% win rate makes returns lumpy and emotionally hard to hold through drought periods, fold 2 proves the drawdowns are real, and the current all-cash stance means the live track record is still essentially unwritten. For now this is a promising sketch that has not yet earned deployment capital — one to watch, not to trust.