The thesis
momentum-code runs one of the oldest ideas in quantitative finance: buy strength. Its mandate is to hold the top positive movers across a 24-name universe of US large caps — a mix of megacap tech (AAPL, MSFT, NVDA), financials (JPM, BAC, V, MA), staples (PG, KO, WMT, COST) and energy (XOM, CVX) — with a per-position cap to keep any single winner from dominating. It is a concentrated, trend-following rotation rather than a broad market bet.
Recent activity
Here the picture cools. The last executed orders landed on 31 May and 1 June 2026 — buys in MSFT, HON, BAC, NVDA and XOM. Every scheduled run since mid-September has ended the same way: zero executed, one to three rejected. Cash has sat frozen at $608.79 across all six runs, which strongly suggests the rejections are a funding constraint — the strategy wants to rotate into new movers but lacks the buying power to size a position under its cap. Total account value has drifted from $10,366 down to $10,329 over the past week, so the book is fully invested and treading water rather than compounding.
Backtest and validation
The backtest is genuinely respectable: 19.76% total return over 451 days, a 10.6% CAGR, final equity of $11,976 on minimal ($5) fees, and a 0.65 Sharpe. Turnover near 93% is consistent with an active rotation. More encouraging still, walk-forward validation produced four positive folds out of four (15.4%, 3.3%, 12.2% and 13.7%), with out-of-sample return of 13.71% and a healthy 1.93 OOS Sharpe. The Probabilistic Sharpe Ratio of 0.81 says the edge is unlikely to be pure noise.
But the validation verdict is failed, and the reason matters. The Deflated Sharpe Ratio is only 0.34 — once you penalise for the six trials run during development, confidence in a real edge drops sharply. The headline 0.65 Sharpe also masks a 20.5% max drawdown, meaning investors had to stomach a fifth of the account evaporating to earn that return. The reported win rate of 0 across just five trades is almost certainly an artefact of how the metric is computed on so few, still-open positions rather than a literal read that nothing worked — but with a sample this small, no performance number deserves much confidence.
Verdict
momentum-code is a plausible, well-diversified momentum sleeve with an honest backtest — but two flags temper enthusiasm. First, the statistical case is thin: a failing DSR and only five trades mean the edge could be an overfit. Second, and more pressing, the live account has been inert for over three months and is now rejecting its own signals on insufficient cash. The strategy's ideas may be sound, but a book that cannot act on them compounds nothing. The priority is operational: free up cash or relax position sizing so the rotation can actually run, then let a larger trade sample settle the question of whether the edge is real.