Thesis
momentum-code runs a simple, legible idea: buy the top positive movers across a 24-name large-cap US universe (AAPL, MSFT, NVDA, JPM, XOM, and peers), with a cap on each position. There is no clever overlay here — it is trend-chasing with position limits, which is exactly the kind of strategy that lives or dies on discipline and validation rather than novelty.
Backtest performance
Over 451 days the strategy returned 19.76%, ending on final equity of $11,976 from a $10k base — a 10.6% CAGR. The Sharpe is a modest 0.65 against a 20.48% max drawdown, so the risk-adjusted picture is far less flattering than the headline return. Turnover of 92.74% on just 5 trades and $5 in fees suggests a concentrated, low-frequency book rather than a churning one.
One quirk deserves a caveat: the reported win rate is 0% across those 5 trades. With a positive total return, this almost certainly reflects open positions or the way partial exits are scored rather than five outright losers — but it is a metric to treat with suspicion, not to celebrate.
Validation — the part that matters
Here the story sharpens. Walk-forward validation ran four folds, all four positive: 15.38%, 3.27%, 12.18%, and 13.71%, with the most recent fold (Dec 2025–May 2026) posting an out-of-sample Sharpe of 1.93. Consistency across regimes is genuinely encouraging.
And yet the gate reports passed: false. The reason is in the deflated statistics: across 6 trials, the PSR is 0.811 but the DSR is just 0.338. Once you penalise for multiple trials, the probability that the true Sharpe clears the bar collapses. This is the validation layer doing its job — refusing to wave through a strategy whose edge may be a product of selection rather than signal. It is a healthy failure, not a bug.
Recent live activity
The live book tells a more uncomfortable tale. The last executed trades were early June — buys in XOM, NVDA, BAC, HON and MSFT. Since then, every scheduled run from 24–31 August executed zero trades and rejected 1–2 orders each, with cash pinned at $608.79 and total equity drifting between roughly $10,459 and $10,566. The strategy is effectively frozen: it wants to buy movers but lacks the cash to act, so it rejects and waits.
Balance sheet: strengths vs risks
Strengths: a transparent thesis, four consistently positive folds, and strong recent out-of-sample Sharpe.
Risks: a 20%+ drawdown, a sub-1 full-sample Sharpe, a DSR that failed the deflation test, a 0% reported win rate that needs explaining, and a live account starved of cash and unable to trade. The validation gate is right to withhold its blessing until the edge survives multiple-trials scrutiny — and the operational stall needs fixing before the strategy can express whatever edge it has.