The Thesis
momentum-code runs one of the oldest ideas in systematic trading: buy the top positive movers in the universe, capped per position. Its universe is a 24-name basket of US large caps — mega-cap tech (AAPL, MSFT, NVDA, GOOGL), financials (JPM, BAC, V, MA), staples (PG, KO, WMT, COST) and energy (XOM, CVX). It is a straightforward cross-sectional momentum tilt with position caps as the only real risk control. Nothing exotic — which makes its validation story more interesting, not less.
Recent Activity
Here the picture turns cautious. The last executed trades were a cluster of buys on 31 May and 1 June 2026 — XOM, NVDA, BAC, HON and MSFT. Since then, nothing has cleared. The six scheduled runs from 22–29 September all report the same shape: zero executed, one to three rejected. Cash has been frozen at $608.79 across every run, and total equity has drifted in a narrow $10,316–$10,402 band. In plain terms, the strategy is fully invested, holds almost no dry powder, and its momentum signals keep pointing at names it cannot afford to add. It is live in name, but effectively idle.
Backtest and Validation
The headline backtest looks respectable: 19.76% total return over 451 days, a 10.6% CAGR, and just $5 in fees on only five trades. But two numbers deserve scrutiny. The Sharpe is a modest 0.65, and win rate reads 0 — because every position is still open, so no round-trip has been closed and scored. Max drawdown of 20.48% is meaningful for a book this concentrated.
The walk-forward validation is genuinely strong on the surface. All four folds are positive: +15.38%, +3.27%, +12.18% and +13.71%, with fold Sharpes as high as 2.47. Out-of-sample return averaged 13.71% at a 1.93 Sharpe. So why did validation fail? The deflated Sharpe ratio (DSR) is only 0.338. With six trials logged, the framework is discounting for multiple-testing: run enough momentum variants and one will look good by luck. PSR of 0.811 is decent, but DSR is the honest, selection-adjusted number, and it falls short of the bar.
The Verdict
The strengths are real — consistent positive folds, tiny trading costs, a clean and explainable thesis. But the risks are equally real. A DSR of 0.338 says the edge may be a survivor of search rather than a robust signal. The 20% drawdown and single-digit trade count mean thin statistical ground. And operationally, the live book has gone quiet: no executions since June and a cash balance too small to act on its own signals.
momentum-code is a strategy worth watching, not yet trusting. The validation gate did its job by refusing to wave through a good-looking-but-unproven candidate — and the stalled live cash position needs attention before its next run means anything at all.