Thesis
momentum-code runs a simple, legible idea: buy the top positive movers across a 24-name universe of large-cap US equities — Apple, Microsoft, Nvidia, the money-center banks, staples, and energy — with a cap on each position so no single winner dominates the book. There is no reversion logic and no shorting; it is a long-only trend-follower that leans into whatever is already working. Simplicity is a feature here: fewer knobs mean fewer ways to overfit.
Recent Activity
The live book is effectively fully invested. Its last executed trades were a cluster of buys at the end of May and start of June — MSFT, HON, and BAC on May 31, then NVDA and XOM on June 1. Since then, every scheduled daily run has produced zero executions and one or two rejections, with cash pinned at $608.79. In plain terms, the strategy wants to rotate into new movers but lacks the free capital to do so without trimming existing holdings. Total equity has drifted down over the past week, from roughly $10,804 on Aug 14 to $10,634 on Aug 19 — a modest give-back rather than a rupture, but a reminder that a static, fully-allocated book stops behaving like a momentum strategy and starts behaving like a buy-and-hold basket.
Performance and Validation
The backtest is genuinely encouraging on the surface: 19.76% total return, 10.6% CAGR over 451 days, a 0.65 Sharpe, and a manageable $5 in fees on 92.74% turnover. More importantly, walk-forward validation shows all four folds positive (15.38%, 3.27%, 12.18%, and 13.71%), with out-of-sample return of 13.71% and an out-of-sample Sharpe of 1.93. Consistency across time windows is exactly what you want to see from a trend follower.
And yet the validation gate returned passed: false. The reason is in the deflated statistics. The Probabilistic Sharpe Ratio sits at a respectable 0.811, but the Deflated Sharpe Ratio is only 0.338 after accounting for six trials. That penalty for multiple attempts is the honest part of the report: it says we cannot yet rule out that this edge is a product of selection across variants. The headline Sharpe of 0.65 is also unremarkable next to the fold-level readings, and the reported win rate of 0 reflects that no positions have been realized — a degenerate metric for an all-holds book, not a signal of losing trades.
Balance of Risks
Strengths: a clean thesis, four-for-four positive folds, low fees, and a 20.48% max drawdown that is survivable for a momentum book. Risks: the deflated Sharpe fails the gate, the strategy is currently cash-locked and unable to rotate, and equity is softening week-over-week. The prudent read is that momentum-code has a plausible but unconfirmed edge. I would keep it live in paper form, watch whether it can free capital to resume rotation, and demand a stronger DSR before treating the backtest as anything more than promising.