The thesis
momentum-code runs one of the oldest ideas in systematic trading: buy the top positive movers in the universe and cap each position so no single name dominates. The universe is a 24-name basket of large-cap US equities — mega-cap tech (AAPL, MSFT, NVDA, GOOGL), financials (JPM, BAC, V, MA), staples (PG, KO, WMT, COST), healthcare (JNJ, UNH, PFE, ABBV) and industrials/energy (CAT, HON, XOM, CVX). It is a clean, legible strategy with no hidden machinery, which makes it a good candidate for honest scrutiny.
Backtest performance
Over 451 days the strategy returned 19.76% (final equity $11,976.21), a 10.6% CAGR, on a Sharpe of 0.65. Turnover ran at 92.74% and total fees were a negligible $5. That is a solid absolute result, but two figures deserve a flag. First, the maximum drawdown was 20.48% — larger than the entire annualised return, so a poorly-timed entry could have hurt. Second, the whole result rests on just 5 trades. A five-trade sample is far too thin to call the edge proven; a single outcome can swing the record.
The reported win rate of 0% is best read as an artefact of open positions rather than a run of losers — the executed buys (MSFT, HON, BAC on 31 May, NVDA and XOM on 1 June) are still held, so no closed round-trips have booked a "win" yet.
Validation: the number that matters
Walk-forward validation is where the story turns interesting. All four folds were positive — 15.38%, 3.27%, 12.18% and 13.71% — with the most recent out-of-sample window posting a 13.71% return at a 1.93 Sharpe. On its face that is impressive consistency. Yet the gate reports passed: false.
The reason is in the deflated statistics. Against 6 trials, the Probabilistic Sharpe Ratio is a healthy 0.811, but the Deflated Sharpe Ratio is only 0.338 — below the threshold that would give confidence the edge survives multiple-testing correction. In plain terms: the folds look good, but once you account for how many variants were tried to find this one, the evidence thins. The framework was right to withhold its stamp.
Recent activity: a stalled book
The live journal is the clearest warning. Across six scheduled runs from 7 to 14 September, the strategy executed zero trades and rejected between one and three candidates each time. Cash has been pinned at $608.79 throughout, with total equity drifting between roughly $10,322 and $10,584. The book has effectively been frozen for over a week — likely a mix of position caps and thin cash blocking new entries.
The balanced read
momentum-code has a coherent thesis and genuinely consistent fold-level returns. But it is live despite a failed validation gate, its drawdown exceeds its return, its edge rests on five trades, and its current allocation is stuck. The strengths are real; so are the reasons the gate said no. This is a strategy to watch, not yet one to trust.