Thesis
momentum-code runs a simple, legible idea: buy the top positive movers in a 24-name large-cap universe, capped per position. The universe spans mega-cap tech (AAPL, MSFT, NVDA), financials (JPM, BAC, V, MA), staples (PG, KO, WMT), healthcare (JNJ, UNH, PFE), and energy/industrials (XOM, CVX, CAT). It is a trend-following momentum sleeve, not a diversified core — and the per-position cap is the only structural brake on concentration.
Backtest
Over 451 days the strategy returned 19.76% (final equity $11,976 on a $10k base), a 10.6% CAGR. Costs were negligible: $5 in fees, no FX. The blemishes are on the risk side. The Sharpe of 0.65 is modest for a trend book, and the 20.48% max drawdown is uncomfortably close to the total return — you endured roughly as much peak-to-trough pain as you earned. Turnover of 92.74% across just 5 trades confirms this is a low-frequency, high-conviction sleeve. The reported 0% win rate is best read as an artifact of open, unrealized positions rather than five outright losers.
Validation
This is the most interesting part. Walk-forward testing across 4 folds was positive in all 4 — returns of 15.38%, 3.27%, 12.18%, and 13.71%, with fold Sharpes as high as 2.47. Out-of-sample return was 13.71% at a 1.93 Sharpe, and the Probabilistic Sharpe Ratio of 0.811 is respectable.
And yet the gate reports passed: false. The tell is the Deflated Sharpe Ratio of 0.338 against 6 trials. Once you penalise for the number of configurations tried, the edge's statistical confidence collapses below threshold. Four green folds look convincing to the eye, but with only 5 trades per fold the sample is thin, and the deflated metric is doing exactly the job it exists to do — refusing to certify a result that could be selection luck. I'd trust the gate over the fold-count here.
Recent Activity
The live book tells a cautionary story. The last executed trades were a cluster of buys in late May and early June 2026 — MSFT, HON, BAC, then NVDA and XOM. Since then, nothing has filled. Every scheduled run from 2026-09-02 through 09-09 reports 0 executed, 1–2 rejected, with cash frozen at $608.79 and total equity oscillating around $10,500. The strategy is effectively fully invested and unable to act on new signals — the per-position caps and thin cash are blocking rotation.
Verdict
Strengths: a clean, explainable thesis; consistent positive folds; low trading costs. Risks: a drawdown nearly equal to its return, a Sharpe that deflates away under trial-count scrutiny, and a live implementation that has stopped rotating since early summer. The backtest is encouraging; the validation gate and the stalled live book both counsel patience. Until cash management lets momentum-code actually trade its signals — and until more out-of-sample trades accumulate — this reads as a promising sleeve that has not yet earned a capital increase.