Thesis
momentum-code runs a simple, legible idea: buy the top positive movers across a 24-name large-cap universe — mega-cap tech, financials, staples, healthcare, and energy — with a per-position cap to limit concentration. There is no clever overlay here, just trend-following on recent strength. Simplicity is a virtue for auditability, and this strategy is easy to reason about.
Backtest Performance
Over 451 days the backtest returned 19.76% (final equity $11,976.21 on a $10k base), a 10.6% CAGR, with a Sharpe of 0.65 and a maximum drawdown of 20.48%. Fees were negligible at $5 total with no FX cost, and turnover sat at a moderate 92.74%. The headline return is respectable, but the risk picture is less flattering: a drawdown larger than the Sharpe would suggest means the strategy earns its gains through a bumpy ride. The reported 0% win rate against just 5 trades signals that positions were still open at the backtest cut — treat win rate as not-yet-meaningful rather than a genuine string of losers.
Validation
This is where the picture sharpens. Across 4 walk-forward folds, all 4 were positive (15.38%, 3.27%, 12.18%, 13.71%), and the most recent out-of-sample fold returned 13.71% at a 1.93 Sharpe — genuinely encouraging consistency across regimes. The probabilistic Sharpe ratio is a healthy 0.811.
And yet the validation gate records passed: false. The reason is the deflated Sharpe ratio of 0.338, computed against 6 trials. Once you adjust for the fact that several variants were tested, the edge is no longer statistically convincing. This is the honest, disciplined outcome: four green folds look great, but the deflated metric exists precisely to resist that narrative and guard against selection bias. The gate is doing its job.
Recent Live Activity
The live book tells a quieter, more troubling story. The last executed trades were on May 31–June 1, 2026 — buys in MSFT, HON, BAC, NVDA, and XOM. Since then, every scheduled run from September 25 through October 2 reports 0 executed with 1–3 orders rejected each time. Cash has been frozen at $608.79 throughout, and total account value has drifted in a narrow band around $10,400.
The pattern is clear: the strategy keeps identifying buy candidates, but with only ~$600 in cash it cannot fund capped positions in names trading well over $100 per share, so the orders bounce. The live engine is effectively idle — fully invested and unable to rotate.
Verdict
Strengths: a transparent thesis, consistent fold-level returns, and a strong PSR. Risks: a failed validation gate once trials are accounted for, a drawdown that rivals the return, and — most pressing operationally — a live book that has transacted nothing in four months because it is out of deployable cash. The research case is promising but unproven; the live case needs a capital or sizing fix before momentum-code can demonstrate anything at all.