Thesis & Design
momentum-code applies a single, interpretable price-momentum signal across a 24-name universe of large-cap US equities spanning technology, financials, healthcare, consumer staples, consumer discretionary, energy, and industrials. Each scheduled run ranks constituents by single-day price change and initiates buys on the top positive movers, with per-position sizing caps to limit concentration. The philosophy is deliberate minimalism: one signal, no secondary curve-fitting, no sector tilts.
Backtest Performance
Over a 451-day period the strategy returned 19.76%, compounding to a 10.6% CAGR with a final equity of $11,976. The full-period Sharpe of 0.65 is modest, and the 20.48% maximum drawdown is non-trivial — comparable to a passive large-cap index in a turbulent year. High turnover (92.74%) is consistent with a daily-rebalancing momentum signal; the $5 in total fees reflects the paper-trading environment, so live execution costs deserve a separate friction analysis before any capital commitment.
A reported win rate of 0 across 5 completed trades warrants a note: with so few closed positions, this figure most likely reflects open positions not yet realized rather than a true loss record. It remains a metric to watch as live history accumulates.
Walk-Forward Validation
The cross-validation picture is more encouraging than the headline validation status implies. All four chronological folds returned positive results:
| 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% |
The most recent fold — the truest out-of-sample period — produced an OOS return of 13.71% and an OOS Sharpe of 1.93, the strongest risk-adjusted result in the series. Fold 2 is the notable soft patch: a 16.55% drawdown and a 0.46 Sharpe in the January–July 2025 window suggests the signal struggled during the volatile early-2025 regime.
Despite four-for-four positive folds, the strategy failed the Deflated Sharpe Ratio gate (DSR = 0.338). The DSR penalises multiple testing: with 6 strategy trials evaluated against this universe, the framework flags a material risk that the headline Sharpe benefited from selection bias. The Probabilistic Sharpe Ratio (PSR = 0.811) is more favourable but does not override the DSR threshold. This is not a signal to dismiss — it is the right question to ask.
Recent Activity
After building its initial book in late May and early June 2026 — buys in MSFT, BAC, HON, NVDA, and XOM — momentum-code has been in a holding pattern. Every daily run from July 3 through July 10 logged zero executions, with one to two candidate trades rejected per session. Portfolio value has drifted between approximately $9,587 and $9,719, reflecting passive mark-to-market movement rather than active turnover. Cash of $608.79 sits idle, likely held back by position-cap logic or by daily movers failing to clear the entry threshold.
Outlook
momentum-code's core thesis — riding short-term price leaders in a diversified large-cap universe — has produced consistent positive results across regimes and a credible recent out-of-sample period. The structural risks are equally clear: the 20% drawdown ceiling demands patience, and the failed DSR gate is a legitimate caution against anchoring too hard on the backtest Sharpe. The next meaningful test arrives when the daily signal fires again and the live book begins to generate enough closed trades for a reliable realized performance record.