The thesis
momentum-code runs a simple, legible idea: buy the top positive movers across a 24-name large-cap universe — think AAPL, MSFT, NVDA, JPM, XOM — with a cap on each position. There's no factor zoo here, no regime switching, just trend-chasing with a concentration limit. Simple theses are easy to reason about and hard to overfit by accident, which is a point in its favour before we look at a single number.
Recent activity
The live book is currently frozen. Its five executed trades all landed on 31 May–1 June 2026 — buys in XOM, NVDA, BAC, HON, and MSFT — and nothing has traded since. The last six scheduled runs (29 Sept through 6 Oct) each report 0 executed against one to three rejected orders, with cash pinned at $608.79. The read is straightforward: the strategy is fully invested and its caps or cash floor are blocking every new entry.
The encouraging part is that doing nothing has paid. Total equity climbed from $10,344.45 on 29 Sept to $10,557.42 on 6 Oct — the held positions are appreciating even while the engine sits on its hands. The less encouraging part is that a momentum strategy that cannot rotate into new leaders is no longer really running its thesis; it's just holding June's winners.
Backtest and validation
Over 451 days the backtest returned 19.76% (final equity $11,976), a 10.6% CAGR, on near-total turnover (92.74%) and just five trades — a very thin sample. The headline Sharpe is a modest 0.65 against a 20.48% max drawdown, so the return came with real volatility. Note the reported win rate of 0%: with positive returns and open positions, this almost certainly reflects unclosed round-trips rather than losing trades, but it's a metric to treat with caution.
Validation is where the story turns. All four walk-forward folds were positive (15.38%, 3.27%, 12.18%, 13.71%), and the most recent out-of-sample fold is genuinely strong — 13.71% at a 1.93 Sharpe with a shallow 6.32% drawdown. PSR sits at a respectable 0.811. Yet the gate recorded passed: false. The culprit is the deflated Sharpe ratio of 0.338: once you account for the six trials run, the confidence that the edge is real drops below the bar. Four green folds look great until the multiple-testing penalty is applied.
Bottom line
momentum-code is a clean, understandable strategy with a flattering recent fold and a book that's quietly gaining. But the signals that matter for trusting it forward — a sub-1.0 full-sample Sharpe, a 20% drawdown, five total trades, and a failed deflated-Sharpe gate — argue for patience. Right now it's a holder, not a momentum engine. Watch whether it can start rotating again before reading too much into the equity curve.