The thesis
momentum-code runs a simple, well-worn idea: buy the top positive movers in its 24-name universe of US large caps — from AAPL, MSFT and NVDA to XOM, KO and DIS — with a cap on any single position. It is currently marked live. There is nothing exotic here, which is both its appeal and its exposure: momentum is a persistent factor, but it is also crowded and prone to sharp reversals.
Backtest performance
Over 451 days the strategy returned 19.76%, ending at $11,976 on a $10,000 base, for a CAGR of 10.6%. That headline number is respectable, but the risk-adjusted picture is more sober: a Sharpe of 0.65 against a maximum drawdown of 20.48%. In other words, roughly the full year's gain was at risk in the worst peak-to-trough stretch. Turnover of 92.74% is moderate for a momentum sleeve, and with only $5 in total fees and no FX cost, trading friction is not the story.
One figure demands caution: the reported win rate is 0 across just 5 trades. With so few positions — all of them buys still held from late May and early June — this almost certainly reflects unclosed round-trips rather than five outright losers, but it is a reminder that the sample is thin and the statistics fragile.
Validation
The walk-forward work is the strongest part of the profile. All 4 folds were positive (15.38%, 3.27%, 12.18% and 13.71%), and the most recent out-of-sample fold posted a 13.71% return at a 1.93 Sharpe — notably better than the in-sample blend. The probabilistic Sharpe ratio of 0.811 is encouraging.
And yet the gate reads passed: false. The likely culprit is the deflated Sharpe ratio of 0.338: once you discount for the 6 trials behind this result, the edge is no longer convincingly distinct from luck. Four positive folds are good news; a DSR that soft is the discipline saying "not yet."
Recent activity — a strategy standing still
The live log is the clearest warning. Every scheduled run from 4 to 11 September executed 0 trades, with 1–3 rejections each time, while cash sat pinned at exactly $608.79 and total equity drifted between roughly $10,458 and $10,584. The last actual fills — XOM, NVDA, BAC, HON and MSFT — date to 31 May and 1 June. The portfolio is effectively fully invested and unable to act on new signals for want of deployable cash.
Verdict
momentum-code has a defensible thesis and genuinely positive out-of-sample folds, but three flags stand out: a failed validation gate on a weak DSR, a 20% drawdown against a modest Sharpe, and a live book that has been dormant for over three months. Promising, but not yet proven — and currently not even trading.