The Thesis
momentum-code runs a deliberately simple play: buy the top positive movers in a 24-name universe of large-cap US equities — think AAPL, MSFT, NVDA, JPM, XOM — and cap exposure per position. No pairs, no shorts, no exotic signals. Its edge, if it has one, is discipline: chase strength, but don't let any single name dominate the book.
Recent Activity
The strategy is flagged live, but the tape has been quiet. Across six scheduled runs between July 28 and August 4, momentum-code executed zero trades and logged one to three rejections each session. Cash has sat frozen at $608.79 the entire stretch, which tells us the rejections aren't cash-constrained sizing failures so much as the strategy declining to act on what it sees.
What is moving is the equity curve. Total portfolio value climbed from $10,122.77 (July 28) to $10,701.91 (August 4) — roughly a 5.7% gain — without a single fill. That lift is coming from positions already on the books: five executed buys from May 31–June 1, including 8 shares of NVDA at $224.20, 13 of XOM at $148.69, and 4 of MSFT at $450.24. In other words, the recent P&L is mark-to-market on stale entries, not fresh conviction.
Backtest & Validation
On paper the record is attractive. The backtest returned 19.76% over 451 days (10.6% CAGR) on just 5 trades and $5 in fees, with turnover of 92.74%. Walk-forward validation is where it gets genuinely interesting: all four folds were positive, and the folds held up out-of-sample — 15.38%, 3.27%, 12.18%, and 13.71% — with fold Sharpes as high as 2.47. Out-of-sample return came in at 13.71% with an OOS Sharpe of 1.93. That's not the profile of a curve-fit fluke.
And yet the gate reads passed: false. The tell is in the deflated statistics. The Probabilistic Sharpe Ratio sits at a healthy 0.811, but the Deflated Sharpe Ratio is just 0.338 — because the headline Sharpe of 0.65 is modest and the strategy was selected from 6 trials. Adjust for that selection bias and the confidence in a genuine edge collapses. The full-sample Sharpe of 0.65 also clashes with those glittering fold Sharpes, hinting the aggregate ride was choppier than any single window suggests.
The Risks
Two things keep me cautious. First, the reported win rate is 0 across 5 trades — almost certainly because positions remain open rather than round-tripped, but it means we have no realized-trade evidence, only unrealized marks. Second, a 20.48% max drawdown is steep for a 10.6% CAGR; you're accepting equity-like pain for equity-like return.
Bottom line: momentum-code shows real out-of-sample consistency, but the deflated Sharpe is right to hold it back. Promising signal, insufficient statistical margin. Watch the next live fills before crediting the thesis.