Thesis
The momentum-code strategy runs one of the oldest ideas in systematic investing: buy the top positive movers in a fixed universe, with a hard cap per position. Its universe is 24 large-cap US names spanning tech, financials, healthcare, staples, and energy — AAPL, MSFT, NVDA, JPM, V, JNJ, XOM, and CAT among them. The per-position cap is the strategy's main risk control, keeping any single winner from dominating the book.
Backtest and Validation
On the full sample the numbers look healthy: a 19.76% total return over 451 days, a 10.6% CAGR, and final equity of $11,976 on a $10,000 base. Turnover was 92.74% and total fees just $5, so trading friction is not eating the edge.
The walk-forward validation is more nuanced. All four out-of-sample folds were positive — 15.38%, 3.27%, 12.18%, and 13.71% — which is a genuine mark of robustness; the strategy did not lean on a single lucky window. Out-of-sample Sharpe averaged an encouraging 1.93. Yet the validation gate reports passed: false. The reason sits in the deflated metrics: across 6 trials the Deflated Sharpe Ratio is only 0.338, well short of a confident pass, even as the Probabilistic Sharpe Ratio reads 0.811. In plain terms, once you penalise for multiple testing, the evidence of a durable edge weakens. The full-sample Sharpe of 0.65 and a 20.48% max drawdown reinforce that this is a volatile ride relative to its return.
One metric deserves a caveat: the reported win rate is 0% across 5 trades. Because all five recent trades are buys with no closing sells, there are no realised round-trips to score — the win rate here is degenerate, not a sign that every trade lost.
Live Activity
The live book tells a quieter story. The five executed trades — MSFT, HON, BAC, NVDA, and XOM — all landed on 31 May and 1 June. Since then, every scheduled run has executed zero orders while rejecting two or three candidates: runs on 20–27 July all show "0 executed." Cash has been frozen at $608.79 the entire stretch, which suggests the per-position caps or available-cash constraints are binding and blocking new entries. Portfolio value has drifted sideways, from roughly $9,887 up to about $10,085 across the week — essentially flat.
Strengths and Risks
The strengths are real: consistently positive folds, negligible fees, and a transparent, well-understood thesis. The risks are equally clear. The failed validation gate warns against over-trusting the headline return; the sub-1 full-sample Sharpe and 20%+ drawdown signal meaningful volatility; and the week of all-rejected runs shows the live implementation is currently capital-constrained and idle. momentum-code is promising but unproven — worth watching, not yet worth conviction.