The thesis
momentum-code runs a deliberately simple idea: buy the top positive movers in a fixed universe of 24 US large caps — the megacap tech names, the money-center banks, staples, healthcare, and energy — and cap each position so no single winner dominates the book. It's a classic cross-sectional momentum tilt, and simplicity is a genuine virtue here. There are few free parameters to overfit, and the universe is liquid enough that execution risk is low.
Backtest and validation
Over 451 days the strategy returned 19.76% (final equity $11,976 on a $10,000 base, a 10.6% CAGR) against a 20.48% max drawdown. The headline Sharpe is a modest 0.65, and turnover ran to 92.74% — respectable, not spectacular, and the drawdown roughly matches the total return, so risk-adjusted it is far from a free lunch.
The walk-forward validation is where it gets more interesting. All four out-of-sample folds were positive (+15.38%, +3.27%, +12.18%, +13.71%), and the per-fold Sharpes were often far stronger than the full-period 0.65 — up to 2.47. The Probabilistic Sharpe Ratio sits at a healthy 0.811. Yet the gate still reports passed: false. The likely culprit is the Deflated Sharpe Ratio of 0.338: with six trials in the search, the DSR haircut for multiple testing pulls confidence below the bar. That is the framework doing its job — a reminder that four green folds can still be luck dressed as skill.
One data caveat worth flagging: the reported win rate is 0% across only five trades, despite a positive return. That is almost certainly a metric artefact (open positions, or a counting quirk) rather than a literal five-for-five loss, and readers should treat the win-rate field with suspicion until it's reconciled.
Recent live activity
Here the picture is less flattering. The last executed trades were a cluster of buys in late May and early June 2026 — XOM, NVDA, BAC, HON, MSFT. Since then, every scheduled run from 26 August through 2 September has executed zero trades and rejected between one and three candidates each day. Cash is pinned at $608.79 and account total hovers around $10,500. In other words, the book is effectively fully invested and the strategy can't act on new signals for lack of dry powder. A momentum engine that can't rotate into fresh leaders is running on its old thesis.
The balance
Strengths: a clean, low-parameter design; consistently positive out-of-sample folds; a strong PSR. Risks: a failed validation gate driven by multiple-testing deflation, a drawdown as large as the return, a suspect win-rate metric, and — most pressingly — a live account that has been unable to trade for over a week. The research case is credible; the operational plumbing needs attention before the strategy earns more confidence.