The thesis
momentum-code runs a deliberately simple idea: buy the top positive movers in a fixed 24-name large-cap universe — the usual megacap tech, financials, healthcare, staples and energy — with a cap per position to avoid concentration. There is no shorting, no factor overlay, no regime filter. The strategy is currently live.
Simplicity is a virtue here. A momentum rule this transparent is easy to reason about and hard to overfit through sheer parameter count. But it also inherits momentum's classic failure mode: it is long-only trend-chasing, so it tends to buy strength and hold into reversals.
Backtest and validation
The headline backtest is respectable: +19.76% total return over 451 days, a final equity of $11,976 from $10k, a 10.6% CAGR, and a Sharpe of 0.65. Turnover is 93% and fees are trivial ($5). The catch is a 20.48% max drawdown — you had to stomach a fifth of your capital evaporating to earn that return, which is why the Sharpe stays modest.
The walk-forward evidence is the strategy's strongest card. All four folds were positive — +15.4%, +3.3%, +12.2% and +13.7% — with out-of-sample return averaging 13.7% and an OOS Sharpe near 1.9. Fold-level drawdowns were tame (5–17%). Consistency across non-overlapping windows is exactly what you want to see.
And yet the validation gate reads passed: false. The reason is in the deflated statistics: PSR is a healthy 0.811, but the Deflated Sharpe Ratio is just 0.338 after adjusting for 6 trials. In plain terms, once you penalise the selection process for how many variants were tested, the evidence that this Sharpe is genuinely above zero is weak. The gate is doing its job — refusing to wave through a result that could be a lucky draw.
Recent activity
Live behaviour is where I'd raise an eyebrow. The last executed trades were a cluster of buys — XOM, NVDA, BAC, HON, MSFT — back on 31 May and 1 June. Since then, every scheduled run from 17–24 August has executed zero trades and rejected one or two. Cash has been frozen at $608.79 the entire week.
Meanwhile the book is bleeding: total value slid from $10,716 on the 17th to $10,460 on the 24th, roughly a 2.4% drop while the strategy sat on its hands. The engine wants to act but every candidate is being rejected — likely insufficient cash to meet the per-position cap — so the portfolio is effectively a static long book riding its existing positions down.
Verdict
momentum-code has a clean thesis and genuinely consistent walk-forward folds, which is more than many strategies can claim. But the failed DSR gate and the reported 0% win rate on just five trades argue for humility, and the current live state — no executable trades, cash stuck, equity drifting — suggests a sizing or cash-management constraint that needs fixing before the strategy can express its edge. Promising on paper; presently stuck in practice.