The Thesis
momentum-code runs a simple, legible idea: buy the top positive movers in a 24-name large-cap universe — spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT), and energy (XOM, CVX) — with a cap on each position so no single name dominates. It is a classic cross-sectional momentum tilt, and its readability is a genuine strength: there is no black box to second-guess.
Backtest & Validation
Over a 451-day backtest the strategy returned 19.76% (final equity $11,976 from a $10k base), a 10.6% CAGR, with a Sharpe of 0.65 and a max drawdown of 20.48%. Turnover was moderate at 92.74% and fees negligible ($5). One caveat worth flagging: the reported win rate of 0% across just 5 trades is almost certainly a labelling artifact of how positions are accounted, not a literal read that every trade lost — the positive equity curve contradicts it.
The walk-forward validation is where the picture gets interesting. All four folds were positive (+15.38%, +3.27%, +12.18%, +13.71%), and the out-of-sample block posted a 13.71% return at a 1.93 Sharpe with a shallow 6.32% drawdown. The Probabilistic Sharpe Ratio of 0.811 is encouraging. That consistency is rare and hard to fake.
And yet the validation gate reads passed: false. The likely culprit is the Deflated Sharpe Ratio of 0.338 — once you deflate for the 6 trials that were run, the edge no longer clears the significance bar. This is the system working as designed: it is refusing to certify a result that could be the product of selection across multiple attempts. Four green folds are promising, but the DSR is a reminder that promising is not proven.
Recent Activity
Here the live behaviour diverges sharply from the backtest. The last executed trades were a cluster on May 31–June 1 — buys in XOM, NVDA, BAC, HON, and MSFT. Since then, every scheduled run has done nothing: the six most recent sessions (Aug 10–17) each report 0 executed, 1–2 rejected. The reason is plain in the numbers — cash sits at just $608.79 against a ~$10.7k book. The strategy is effectively fully invested, so new buy signals are being rejected for lack of dry powder.
Meanwhile total equity has drifted down modestly, from $10,828 on Aug 10 to $10,716 on Aug 17. Nothing alarming, but the portfolio is now a static basket riding its early-June entries, not the dynamic mover-chaser the thesis describes.
Verdict
The strengths are real: a clean thesis, four consecutive positive folds, and a strong OOS Sharpe. The risks are equally real: a 20%+ drawdown, a failed deflated-significance test that flags possible overfitting across trials, and a live book that has stopped rebalancing because it is out of cash. Before leaning harder on momentum-code, I would want to see the cash constraint addressed so signals can actually fire — and more out-of-sample folds to push that DSR over the line.