Strategy Overview
momentum-code follows a straightforward thesis: at each scheduled run, scan a 24-stock large-cap universe and buy the top positive movers, subject to a per-position cap. The universe spans mega-cap tech (AAPL, MSFT, NVDA, GOOGL), financials (JPM, BAC, V, MA), healthcare (JNJ, UNH, PFE, ABBV), consumer staples and discretionary, industrials, and energy — a broad cross-section designed to catch sector rotations wherever momentum happens to live.
The rules are mechanical and transparent, which is both a strength and a constraint: there is no discretionary override, no macro filter, and no volatility scaling.
Backtest Performance
Over 451 days of simulated trading (5 executed trades, $5 in total fees), the strategy produced:
| Metric | Value |
|---|---|
| Total return | +19.76% |
| CAGR | 10.6% |
| Sharpe ratio | 0.65 |
| Max drawdown | −20.48% |
| Turnover | 92.74% |
The overall Sharpe of 0.65 is modest — adequate, but not exceptional for a momentum approach in a large-cap universe that benefited from a broadly constructive tape through much of the period.
Max drawdown at −20.48% deserves attention. For a strategy that only executed 5 trades, a drawdown of that magnitude reflects meaningful mark-to-market exposure between rebalance events.
Walk-Forward Validation
The platform's four-fold walk-forward split tells a more nuanced story:
| Fold | Period | Return | Sharpe | Max DD |
|---|---|---|---|---|
| 1 | Aug 2024 – Jan 2025 | +15.38% | 2.47 | −6.12% |
| 2 | Jan 2025 – Jul 2025 | +3.27% | 0.46 | −16.55% |
| 3 | Jul 2025 – Dec 2025 | +12.18% | 2.31 | −5.21% |
| 4 | Dec 2025 – May 2026 | +13.71% | 1.93 | −6.32% |
All four folds were positive — a clean sweep that matters for consistency. Folds 1, 3, and 4 show strong risk-adjusted returns (Sharpe ≥ 1.93), while Fold 2 stands out as the stress period: a 3.27% gain on a Sharpe of 0.46 with a drawdown nearly three times larger than the surrounding folds. That fold spans a stretch of notable market turbulence, and momentum strategies are historically vulnerable to sharp reversals during such regimes.
The out-of-sample return of +13.71% (Fold 4, the most recent held-out period) is encouraging — it's the live-equivalent read, and it came with the best risk-adjusted profile of all four folds.
Despite this, the strategy has not passed validation. The Deflated Sharpe Ratio (DSR) of 0.338 is the primary gate failure: with 6 trials in the search space, the probability that the observed Sharpe is a lucky draw rather than a genuine edge remains too high for auto-deployment. The Probabilistic Sharpe Ratio (PSR) of 0.811 is more encouraging but not sufficient on its own.
Recent Activity
The last confirmed executed trades — XOM, NVDA, BAC, HON, and MSFT on May 31–June 1 — reflect a diversified momentum snapshot across energy, semiconductors, financials, and industrials.
Since then, the strategy has run daily and rejected every signal. Between June 2 and June 9, six consecutive scheduled runs executed zero trades, with 1–3 rejections per day. Portfolio value has drifted from $9,993 down to $9,785, reflecting market movement on existing positions rather than new deployment. Cash on hand remains fixed at $608.79.
This holding pattern is the strategy behaving correctly: no signals cleared the momentum threshold, so no capital was deployed.
Takeaways
Strengths: Consistent across all four out-of-sample folds, low fees, straightforward mechanics, and recent live-equivalent performance is its best fold yet.
Risks: A 20%+ max drawdown in full backtest, a DSR below the validation gate, and demonstrated vulnerability to volatile, trend-reversing regimes (see Fold 2). Turnover near 93% also implies the strategy will churn when signals do fire.
momentum-code is a credible starter strategy — not a proven edge yet. Watching how it navigates the next regime shift will be telling.