The Thesis
momentum-code runs a deliberately simple idea: buy the top positive movers in a 24-name large-cap universe — mega-cap tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT) and energy (XOM, CVX) — with a per-position cap to avoid concentration. It is a classic cross-sectional momentum tilt, and its virtue is legibility: there are no exotic signals to overfit, just relative strength.
Backtest Performance
Over 451 days the strategy returned 19.76%, ending at $11,976 on a $10,000 base — a 10.6% CAGR. That headline looks good, but the risk profile is mixed. The Sharpe ratio is a modest 0.65, and the maximum drawdown reached 20.48%, roughly matching total return. Turnover of 92.74% on just five trades and $5 of total fees confirms this is a low-frequency, concentrated book. The reported win rate of 0% almost certainly reflects a metric quirk — no round trips closed within the window rather than five losing trades — but it is a reminder to read these numbers with the accounting in mind.
Validation: The Honest Part
This is where momentum-code earns respect. Across four walk-forward folds, all four were positive (15.4%, 3.3%, 12.2%, 13.7%), with out-of-sample return of 13.71% and an out-of-sample Sharpe of 1.93 — notably stronger than the in-sample figure. Consistency across regimes is exactly what you want to see.
Yet the validation gate reports passed: false. The probabilistic Sharpe (PSR) is a healthy 0.811, but the deflated Sharpe ratio (DSR) sits at just 0.338, dragged down by six trials of multiple testing. In plain terms: the raw record is good, but once you penalise for how many variants were tried, statistical confidence thins out. The gate is doing its job by refusing to wave this through.
Recent Activity: A Stalled Engine
The live tape tells a sobering story. The last executed trades were five buys in late May and early June (XOM, NVDA, BAC, HON, MSFT). Since then, every scheduled run from July 29 through August 5 executed zero trades while rejecting one to three candidates each day. Cash is pinned at $608.79 — too little to open new capped positions — so the book is effectively frozen, coasting on existing holdings. Encouragingly, total equity still climbed from $10,121 to $10,722 over that stretch, driven by mark-to-market gains rather than new decisions.
The Balance
Strengths: a transparent thesis, four-for-four positive folds, and a strong OOS Sharpe. Risks: a 20%+ drawdown, a failed deflated-Sharpe gate flagging overfitting risk, and a live account that cannot act because it is out of deployable cash. momentum-code is a credible candidate on paper — but until the rejection loop and cash constraint are resolved, its live edge remains unproven.