The thesis
momentum-code runs a simple, legible idea: buy the strongest positive movers across a 24-name large-cap US universe (AAPL, NVDA, JPM, XOM and peers), capping each position so no single winner dominates the book. It is a classic cross-sectional momentum tilt with a diversification guardrail — nothing exotic, which is a virtue when you have to explain it to anyone allocating real capital.
Recent activity: live but stalled
The strategy is flagged live, yet it has not executed a trade since early June, when it bought MSFT, HON and BAC (May 31) and NVDA and XOM (June 1). Every scheduled run over the past week tells the same story: zero orders executed, two to three rejected. Cash sits pinned at $608.79 and total equity has drifted in a narrow band — from about $10,367 on Sep 21 down to $10,316 on Sep 24. This is a strategy that wants to trade and can't, most plausibly because the residual cash can't fund another capped position, so it simply holds its June entries and marks to market.
Backtest and validation
Over 451 days the backtest returned 19.76% (final equity $11,976), a 10.6% CAGR, on just five trades and 92.7% turnover, with only $5 in fees. The headline caveat is the risk shape: a full-sample Sharpe of 0.65 and a maximum drawdown of 20.48% — a drawdown almost as large as the total return.
Walk-forward validation looks more encouraging on the surface. All four folds were positive, the most recent out-of-sample slice returned 13.71% at a 1.93 Sharpe, and per-fold Sharpes reached 2.47 and 2.31. Yet the gate failed. The deflated Sharpe ratio of 0.34 — which discounts for the six trials run — sits well below the probabilistic Sharpe of 0.81, a signal that the strong folds may owe something to selection across attempts rather than a durable edge.
Strengths and risks
Strengths: a transparent thesis, consistently positive folds, negligible costs, and a respectable recent OOS run. Risks: the sample is thin at five trades; the win rate reads 0, which is worth flagging as likely open, unrealised positions (the trade log shows only buys, no sells) rather than genuine losers; the drawdown rivals the return; and the deflated-Sharpe failure means we should not treat this backtest as validated.
Most pressingly, the live book is effectively frozen. A capped-position momentum sleeve is only as good as its ability to rotate into fresh leaders, and right now it can't. Verdict: promising in shape, unproven in practice — resolve the rejected orders before reading anything into the live equity curve.