Thesis
momentum-code runs a deliberately simple idea: buy the top positive movers in its universe and cap each position. The universe is 24 U.S. large caps 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 leverage — it is a long-only, trend-chasing sleeve. The strategy is currently marked live.
Backtest and validation
The headline backtest is respectable: +19.76% total return, 10.6% CAGR over 451 days, on just 5 trades and $5 in fees. But the same run carries a 20.48% max drawdown against a 0.65 Sharpe — you are accepting roughly as much peak-to-trough pain as you earned in total return, which is a thin reward-to-risk profile.
The walk-forward evidence is more encouraging. Across 4 folds, all 4 were positive (+15.38%, +3.27%, +12.18%, +13.71%), and out-of-sample the strategy returned 13.71% at a 1.93 Sharpe. Fold Sharpes of 2.47 and 2.31 in the first and third windows are strong; fold 2's 0.46 shows the approach can stall in choppier tape.
Despite that, the validation gate reports passed: false. The reason lives in the overfitting statistics: the Probabilistic Sharpe Ratio is a healthy 0.811, but the Deflated Sharpe Ratio is only 0.338 after accounting for 6 trials. In plain terms, once you penalize for how many variants were tested to find this one, the edge no longer clears the bar. That is the system working as designed — refusing to certify a result that could be selection luck.
Recent activity
Here is the tension worth flagging. The last executed trades were a cluster of buys on May 31–June 1, 2026 — XOM, NVDA, BAC, HON, MSFT. Since then, every scheduled run from July 27 through August 3 has printed 0 executed, with 1–3 rejections each day. Cash sits pinned at $608.79 while total account value drifts between roughly $10,085 and $10,568.
The read is straightforward: the book is fully invested, so new momentum signals keep getting rejected for want of buying power. That is not a bug, but it does mean momentum-code is currently a hold-and-hope portfolio rather than an actively rotating one. The reported 0% win rate against 5 trades is almost certainly a round-trip artifact — positions are open, not yet realized — but it deserves a real sell-side test before anyone reads it as signal.
Verdict
Strengths: a coherent, low-turnover thesis, four-for-four positive folds, and encouraging out-of-sample Sharpe. Risks: a failing deflation gate, a 20% drawdown, near-zero deployable cash, and a two-month stretch of no executions. The strategy has promise but has not earned certification. I would keep it live-but-watched, add a rebalance or trim rule to free capital, and re-run validation with fewer trials before treating the fold results as durable edge.