Thesis
momentum-code runs a simple, well-worn idea: buy the top positive movers in its universe, capped per position. The universe is a 24-name basket of large-cap U.S. equities spanning tech (AAPL, MSFT, NVDA), financials (JPM, BAC, V, MA), healthcare (JNJ, UNH, PFE, ABBV), staples (PG, KO, WMT, COST), and energy/industrials (XOM, CVX, CAT, HON). There is no shorting and no exotic signal—just relative strength with a per-position cap to keep any single winner from dominating the book. The strategy is currently marked live.
Backtest & Validation
Over a 451-day backtest the strategy returned 19.76%, ending at $11,976.21 from a $10k base, for a 10.6% CAGR. That headline number comes with real caveats: a Sharpe of 0.65 is modest, and the 20.48% max drawdown roughly matches the total return—meaning an investor had to stomach a fall as large as the eventual gain. Turnover of 92.74% on just 5 trades and $5 in total fees confirms this is a low-frequency, concentrated book rather than a churning one.
The walk-forward validation is more encouraging on consistency: all four folds were positive (15.38%, 3.27%, 12.18%, and 13.71%), and the out-of-sample slice returned 13.71% at a 1.93 Sharpe—notably better risk-adjusted performance than the full-sample number. Fold-level drawdowns were also tame (5–16%).
Yet the automated gate reports validation: not passed. The tell is in the deflated metrics: with 6 trials in the search, the Probabilistic Sharpe Ratio sits at 0.811 but the Deflated Sharpe Ratio drops to 0.338. Once you penalize for multiple testing, the edge is no longer statistically convincing. Four-for-four folds look clean, but 5 trades per fold is a thin sample, and that is exactly the kind of result an honest overfitting check is built to distrust.
Recent Activity
Here the picture turns cautionary. The last executed trades were a cluster of buys around May 31–June 1—MSFT, HON, BAC, then NVDA and XOM. Since then, every scheduled run from July 21 through July 28 logged 0 executed and 2–3 rejected. Cash has been pinned at $608.79 the entire week while total equity drifted between roughly $9,995 and $10,131.
The reject pattern strongly implies a capital constraint: the engine wants to rotate into fresh movers but lacks the cash to buy new positions at their current per-position sizing. The book is effectively frozen in its early-June holdings.
One metric to read carefully: win rate shows 0% across 5 trades. Given the positive returns, this almost certainly reflects open, unclosed positions rather than five losers—but it's a reminder that live P&L attribution here is still incomplete.
Verdict
momentum-code has a coherent thesis and a backtest that holds up across folds—genuine strengths. But the failed deflated-Sharpe gate, a drawdown as deep as its returns, and a live account stuck on rejected trades all argue for patience. This is a candidate worth watching, not yet one worth trusting with fresh capital.