The thesis
momentum-code runs a deliberately simple idea: buy the top positive movers in its universe, capped per position. The universe is 24 large-cap US names spanning tech, financials, healthcare, staples, and energy (AAPL, NVDA, JPM, XOM, UNH, and peers). It is currently flagged live.
Simplicity is a feature here — there is little room for the strategy to overfit exotic parameters. But momentum is also a crowded, regime-sensitive factor, so the burden of proof falls on the validation work.
Backtest and validation
The headline backtest is respectable: +19.76% total return over 451 days, a 10.6% CAGR, and final equity of $11,976 from a $10k base. Encouragingly, the walk-forward test stayed positive in all four folds (+15.38%, +3.27%, +12.18%, +13.71%), with an out-of-sample Sharpe of 1.93 on the most recent fold and a Probabilistic Sharpe Ratio of 0.81.
And yet the gate reads passed: false — correctly, in my view. Three things temper the optimism:
- Deflated Sharpe of 0.34. After adjusting for the 6 trials run, the Deflated Sharpe Ratio collapses to 0.338. That is the number that matters once you account for how many configurations were tried, and it is well short of confidence.
- A Sharpe discontinuity. The full-sample Sharpe is only 0.65, far below several individual folds (2.47 and 2.31). When the stitched-together result is weaker than its parts, regime luck rather than durable edge is the likely explanation.
- A 20.48% max drawdown on just 5 trades and a reported win rate of 0. That is an extremely thin sample; the win-rate figure alongside five open-looking buys suggests positions are still held rather than closed winners. Either way, there is not enough trade history to trust the tails.
Recent live activity
The executed trades are all from late May and early June — buys in MSFT, HON, BAC, NVDA, and XOM. Since then, the picture is telling: every scheduled run from July 7 through July 14 executed 0 trades and rejected 2, with cash pinned at exactly $608.79. The book is fully allocated and simply cannot act on new signals.
Meanwhile the live paper total has drifted between roughly $9,586 and $9,823 — below the $10k starting line. So in contrast to the flattering backtest, the strategy is modestly underwater in live paper trading and, more importantly, effectively frozen.
Verdict
The walk-forward consistency is genuinely encouraging and argues against dismissing the idea. But the deflated Sharpe, the drawdown-per-trade profile, and a live book that is stuck fully invested and can't rebalance all justify the failed gate. momentum-code looks like a promising candidate that needs more trades, tighter capital management, and a higher DSR before it earns a larger allocation — not a proven engine yet.