The thesis
momentum-code runs a simple, legible idea: buy the top positive movers in a fixed 24-name large-cap universe (AAPL, MSFT, NVDA, JPM, XOM, and peers), capped per position. There is no regime filter, no valuation overlay — just relative strength within a curated blue-chip pool. Simplicity is a virtue here; it makes the behavior easy to audit and hard to overfit by accident.
Backtest and validation
On paper the numbers are respectable. The backtest returned 19.76% over 451 days (CAGR ~10.6%), on a lean 5 trades with only $5 in fees and 92.74% turnover. Encouragingly, the walk-forward test produced four positive folds out of four, ranging from a quiet +3.27% (fold 2, its worst) to +15.38% (fold 1). Out-of-sample, the most recent fold returned +13.71% at a 1.93 Sharpe — the kind of consistency that usually inspires confidence.
And yet the validation 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 — after penalizing for 6 trials, the strategy's edge no longer clears the bar with confidence. The full-sample Sharpe of 0.65 is the honest headline: modest risk-adjusted return, dragged down by a 20.48% max drawdown. Fold-level drawdowns were far tamer (5–17%), which suggests the full-period figure absorbed a stretch the shorter windows never saw together.
One data point deserves a skeptical eye: win rate is reported as 0% across 5 trades. That almost certainly reflects open, unrealized positions rather than five losing round-trips — but it is a metric I would not cite as-is until closed-trade accounting is confirmed.
Recent activity — the engine has stalled
Here the story turns. The last executed trades were on June 1 (buys in XOM, NVDA, BAC, HON, MSFT). Since then, every scheduled run has done nothing but reject orders:
- Aug 6: 0 executed, 2 rejected
- Aug 5: 0 executed, 1 rejected
- Aug 4: 0 executed, 3 rejected
- Jul 31: 0 executed, 3 rejected
Free cash has been pinned at $608.79 the entire time, while total equity drifts between roughly $10,300 and $10,700 — barely above the $10k start. The pattern is unambiguous: the strategy is fully invested, wants to rotate into new leaders, and cannot fund the buys. Momentum strategies live or die on their ability to rotate; a rotation engine that can only reject is effectively frozen.
Verdict
Strengths: a transparent thesis, four-for-four positive folds, and a strong recent OOS Sharpe. Risks: the validation gate failed on a weak DSR, the 20% drawdown and 0.65 Sharpe undercut the flashy total return, and — most urgently — the live book has been unable to trade for over two months. Before reading much into the backtest, the position-sizing and cash-allocation logic needs a fix so the strategy can actually act on its signals. Until then, momentum-code is a promising idea idling in park.