The thesis
momentum-code runs a simple, legible idea: each scheduled run buys the strongest positive movers from a 24-name large-cap universe — AAPL, MSFT, NVDA, JPM, XOM and peers — capping exposure per position. No leverage, no shorting, just relative strength chased within a blue-chip pool. The appeal is transparency; the risk, as ever with momentum, is that it works until it abruptly doesn't.
The backtest reads well
Over a 451-day backtest the strategy returned 19.76% (10.6% CAGR), ending at $11,976 on trivial costs — $5 in fees and zero FX. But the quality metrics are more sober: Sharpe was a middling 0.65, and max drawdown reached 20.48%, so the equity curve is choppy rather than smooth. Turnover of 92.74% is moderate, and the whole record rests on just five trades — a thin sample to lean on.
Validation: strong folds, failing gate
Walk-forward is the more honest test, and here the picture is genuinely nuanced. All four out-of-sample folds were positive (15.38%, 3.27%, 12.18%, 13.71%), with the most recent fold posting a 1.93 Sharpe against a shallow 6.3% drawdown. Out-of-sample return averaged 13.71% and the probabilistic Sharpe (PSR) of 0.81 is healthy.
Yet the gate returned passed: false. The tell is the deflated Sharpe ratio (DSR) of 0.338 across six trials — once you haircut for the number of variants tried, the edge shrinks toward "plausible but unproven." Four-for-four positive folds is a real point in its favour; the DSR is the discipline that stops us calling it a winner.
Live: running, but not trading
Since early June the strategy has effectively stopped executing. Every scheduled run from 1–8 September executed zero orders and rejected one to three each — cash sits at just $608.79 against a total near $10,500, so the book is fully invested and new momentum signals can't be funded under the per-position caps. The last executed fills were back on 31 May–1 June (XOM, NVDA, BAC, HON, MSFT). Live equity has drifted in a tight $10,515–$10,671 band, roughly +5% on the paper base — respectable, but far off the backtest's pace.
Strengths and risks
Strengths: a transparent rule set, negligible costs, consistently positive folds, and a strong recent-fold Sharpe. Risks: a headline win rate of 0% (positions appear held open rather than realised, so read it cautiously), a 20% drawdown tolerance, a five-trade sample, and — most tellingly — the failed DSR gate. The live rejection streak exposes a practical flaw too: fully allocated, the engine can no longer act on the very signals it exists to chase.
Verdict
A promising, well-behaved momentum sleeve whose statistics look better before the multiple-testing haircut than after. Keep it live and watched — but respect the gate. This is a candidate, not a conviction.