The thesis
momentum-code runs a simple, legible idea: buy the top positive movers in a fixed 24-name large-cap universe, with a cap on each position. The universe spans mega-cap tech (AAPL, MSFT, NVDA, GOOGL), financials (JPM, BAC, V, MA), healthcare, staples, and energy — a broad, liquid cross-section. There is no shorting, no leverage, and no exotic signal: ride what is already going up, size it modestly, and let the cap enforce diversification. It is the kind of strategy that is easy to explain and easy to audit, which is a genuine virtue.
Recent activity
The live book is quiet — arguably too quiet. The last executed trades were a cluster of buys at the end of May and start of June 2026: MSFT, HON, and BAC on 31 May, then NVDA and XOM on 1 June. Since then, every scheduled run in October (the 1st through the 8th) reports 0 executed and 1–3 rejected orders. Cash has sat frozen at $608.79 throughout, which strongly suggests the strategy wants to add capped positions but lacks the dry powder to clear the per-order sizing. Meanwhile total equity has drifted down from $10,557 on 6 October to $10,411 on the 8th. In practice, momentum-code is now a buy-and-hold book that can no longer act on its own signals.
Backtest and validation
The historical record is the strongest part of the story. Over 451 days the backtest returned 19.76% (final equity $11,976), a 10.6% CAGR, with turnover of 92.7% and just $5 in fees. More importantly, the walk-forward structure held up: all four folds were positive (+15.4%, +3.3%, +12.2%, +13.7%), and the most recent out-of-sample fold posted a 1.93 Sharpe. The probabilistic Sharpe ratio of 0.81 is encouraging.
And yet the validation gate failed. Two numbers explain why. The headline Sharpe is only 0.65, and the deflated Sharpe ratio — which penalises the 6 trials tested — collapses to 0.34. In other words, once you account for how many variants were screened to find this one, the edge looks far less certain than the raw folds suggest.
Strengths and risks
The strengths are real: a transparent rule, four-for-four positive folds, low costs, and a strong recent OOS Sharpe. But the risks are equally concrete. The max drawdown of 20.5% is steep for a 10.6% CAGR. The sample is thin — the backtest rests on only 5 trades, and the reported 0% win rate against positive returns looks like a metric artifact that deserves investigation rather than trust. The failed validation gate and low deflated Sharpe are the system telling us not to over-believe the folds. And the live stall — months without an execution and a chronically under-funded cash balance — means we are not currently testing the thesis at all.
Verdict: a promising, honest strategy whose backtest flatters a sample too small to confirm it, and whose live engine needs unblocking before the next fold can teach us anything.