Thesis
momentum-code runs a deliberately simple idea: buy the top positive movers in a 24-name large-cap universe — spanning tech (AAPL, MSFT, NVDA), financials (JPM, BAC, V, MA), staples (PG, KO, WMT), and energy (XOM, CVX) — with a cap on each position. There is no shorting and no market-timing overlay; it simply rotates into strength and limits concentration. Simplicity is a virtue here: fewer knobs means fewer ways to overfit.
Backtest
Over 451 days the strategy returned 19.76%, ending at $11,976 in equity, for a 10.6% CAGR. That headline masks a bumpier ride: the Sharpe is a modest 0.65 and the maximum drawdown reached 20.48% — roughly as deep as the total return, which is a real risk flag. Turnover of 92.74% across just five trades and $5 in total fees confirms this is a low-frequency, buy-and-hold-the-winners approach rather than an active churner. The reported win rate of 0% looks alarming at first glance, but with only five entries and no closed sells, it reflects an absence of realized round-trips rather than a run of losers.
Validation
This is the most interesting part. On a walk-forward basis all four out-of-sample folds were positive — 15.38%, 3.27%, 12.18%, and 13.71% — with fold Sharpes as high as 2.47 and shallow drawdowns (5–17%). The most recent fold's 13.71% OOS return at a 1.93 Sharpe is genuinely encouraging. The probabilistic Sharpe (PSR) of 0.81 is respectable.
And yet the validation gate failed. The reason sits in the deflated Sharpe ratio (DSR) of 0.338. Across six trials, the framework penalizes the raw 0.648 Sharpe for multiple-testing luck, and 0.34 is not enough confidence that the edge survives selection bias. This is the system working as intended: four green folds are reassuring, but a thin, low-Sharpe signal discovered among several candidates deserves skepticism. momentum-code is live, but on a short leash.
Recent activity
The live book tells a cautionary tale. The last executed trades were a cluster of buys on 31 May and 1 June 2026 — MSFT, HON, BAC, then NVDA and XOM. Since then, the strategy has effectively stalled. Six consecutive scheduled runs from 25 August through 1 September executed zero trades while rejecting one to three orders each. Cash has been frozen at $608.79 throughout, and total value has drifted sideways in a narrow $10,467–$10,566 band. The repeated rejections with so little cash on hand strongly suggest the position caps and available capital are now binding — the strategy wants to act but structurally cannot.
Assessment
Strengths: a clean, interpretable thesis, uniformly positive OOS folds, and disciplined low turnover. Risks: a drawdown nearly equal to its return, a failed deflated-Sharpe gate warning of overfitting, and a live book that has been inert for three months with nearly all cash deployed. The read is cautiously constructive: the signal shows persistence across time, but until the DSR clears its threshold and the live book can transact again, momentum-code is better watched than trusted.