The Thesis
momentum-code is about as clean as a momentum idea gets: buy the top positive movers in the universe, capped per position. The universe is 24 large-cap US names spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT) and energy (XOM, CVX). No shorting, no leverage, just a rotation into whatever is leading. The per-position cap is the only real risk control, which keeps the book from concentrating into a single runaway name but does little to protect against a broad drawdown.
Recent Activity
Here is where the picture gets less flattering. The last executed trades landed on 31 May–1 June 2026 — a batch of buys in MSFT, HON, BAC, NVDA and XOM. Since then, every scheduled run has come up empty. Between 11 and 18 August, the strategy logged six consecutive sessions of 0 executed, 1–2 rejected, with cash pinned at just $608.79 against a total book of roughly $10,700.
The read is straightforward: the strategy is fully invested and cannot fund new entries, so fresh momentum signals get rejected for lack of cash. Meanwhile total equity has drifted down over the week, from $10,804 on 14 August to $10,706 on 18 August. A momentum book that can't rotate is just a static long portfolio — and right now that's exactly what this is.
Backtest & Validation
The backtest is genuinely encouraging in isolation: +19.76% total return over 451 days (≈10.6% CAGR), with a 20.48% max drawdown and turnover near 93%. The reported win rate of 0 reflects that positions are still open rather than closed round-trips, so read it as "undefined" rather than a losing record.
Cross-validation is the stronger story — and the sharper warning. All four folds were positive (+15.4%, +3.3%, +12.2%, +13.7%), with out-of-sample return of 13.71% and an OOS Sharpe of 1.93. That consistency is rare and worth respecting.
And yet validation failed. After deflating for 6 trials, the numbers soften: PSR of 0.811 is solid, but the deflated Sharpe ratio (DSR) is only 0.338, and the full-period Sharpe of 0.65 sits well below the per-fold figures. The gate is doing its job — it's telling us the headline Sharpe is flattered by favourable windows and doesn't survive a multiple-testing haircut.
Verdict
momentum-code has a coherent thesis and unusually consistent fold-level results, which is more than most momentum sleeves can claim. But two things temper the optimism: the validation gate's failure on deflated risk-adjusted metrics, and a live book that has been frozen — fully invested, low on cash, and rejecting every new signal for over a week. The strategy needs a cash-management or rebalancing fix before its live behaviour can match its backtest. Until then, treat the paper edge as unconfirmed.