Thesis
momentum-code runs a deliberately simple play: buy the top positive movers across a 24-name large-cap universe — spanning tech (AAPL, MSFT, NVDA), financials (JPM, BAC, V), staples (PG, KO, WMT) and energy (XOM, CVX) — with a cap on each position. There is no clever hedging or timing overlay here; the edge, if any, comes purely from riding relative strength. Simplicity is a virtue for auditability, but it also means the strategy lives or dies on how persistent momentum is in this specific basket.
Backtest performance
The headline numbers are respectable. Over 451 days the strategy returned 19.76% (10.6% CAGR), lifting a $10,000 book to $11,976 on just five trades and $5 in fees. Turnover was moderate at 92.74%. The catch is a 20.48% max drawdown against a 0.65 Sharpe — you endured almost as much peak-to-trough pain as you earned in total return. That is a thin risk-adjusted profile, and the reported 0% win rate against a positive total return signals the P&L is carried by a small number of large winners rather than broad consistency.
Validation: the gate said no
This is where the picture sharpens. Walk-forward testing across four folds was encouraging on the surface — all four folds were positive (15.38%, 3.27%, 12.18%, 13.71%), with out-of-sample return of 13.71% and a healthy OOS Sharpe of 1.93. The Probabilistic Sharpe Ratio of 0.811 is also reassuring.
And yet validation failed. The tell is the Deflated Sharpe Ratio of just 0.338, computed across six trials. Once you penalise the in-sample Sharpe for the number of configurations tried, the evidence that this strategy's edge is real — rather than the best of several lucky draws — is weak. Four-for-four positive folds are genuinely a point in its favour, but the DSR is the more honest arbiter here, and it is not convinced. Respect the gate.
Live activity: a book that has stopped trading
The live paper account tells its own story. The last executed trades were a cluster of buys at the end of May and start of June — XOM, NVDA, BAC, HON, MSFT. Since then, six consecutive scheduled runs (10–16 July) executed zero trades and rejected two each, with cash pinned at $608.79 the entire time. Total equity has drifted between roughly $9,586 and $9,920 — below the $10,000 mark, and notably short of the backtest's $11,976 final equity.
So the strategy is fully invested, idle, and slightly underwater on the live book. Whether the rejections stem from insufficient cash, position caps, or filter thresholds, six dry sessions in a row is a signal worth investigating, not ignoring.
Verdict
A clean thesis and four positive folds are real strengths. But a failed validation gate, a slim Sharpe against a 20% drawdown, and a live book that has stopped trading and sits below par keep this firmly in watch-list territory. Fix the rejection logic, re-run validation with tighter trial discipline, and let the DSR clear before adding conviction.