The thesis
momentum-code runs a simple, legible idea: buy the top positive movers in a fixed 24-name large-cap universe — think AAPL, MSFT, NVDA, JPM, XOM, UNH — with a cap on how much any single position can take. No forecasting, no exotic signals, just chase relative strength and size it sensibly. The strategy is currently marked live.
Backtest: good headline, awkward footnotes
Over 451 days the backtest returns 19.76% (final equity $11,976 from a $10k base), a 10.6% CAGR, with a Sharpe of 0.65 and a max drawdown of 20.48%. Turnover is a modest 92.74% and total fees just $5, so costs are not eating the edge.
Two numbers deserve a second look. The whole-period max drawdown (20.48%) is larger than any single validation fold's worst (16.55%) — pain accumulated across fold boundaries that the per-fold view hides. And winRate reads 0 on 5 trades, which is consistent with a book that bought five positions and held them: with no closed round-trips, there are no realized winners to count. Read it as "no completed trades" rather than five losses.
Validation: four green folds, one red verdict
The walk-forward is encouraging on its face — all four folds positive (15.38%, 3.27%, 12.18%, 13.71%), with out-of-sample return of 13.71% and OOS Sharpe of 1.93. Yet the gate reports passed: false. The tell is in the deflated statistics: PSR sits at a respectable 0.811, but the DSR is only 0.338 against 6 trials. Once you penalise for the number of configurations tried, the strategy's apparent skill thins out. This is exactly the discipline you want — four pretty folds are easy to find if you look six times; the deflated ratio is the honest scorekeeper, and it said not yet.
Live: a book that has stopped trading
The live picture is the real concern. The executed trades on record are all buys from late May and early June 2026 (XOM, NVDA, BAC, HON, MSFT). Every scheduled run since — Oct 7 through Oct 14 — reports 0 executed, 1–3 rejected, with free cash frozen at $608.79 and total equity drifting between roughly $10,410 and $10,591.
That is a strategy fully invested, out of dry powder, and rejecting the orders it wants to place. Live equity near $10,400 is a far cry from the backtest's $11,976 — a reminder that a held basket of early-summer momentum picks is not the same as an actively rotating momentum engine.
Verdict
Strengths: a clear thesis, cheap execution, and consistently positive folds. Risks: a failed deflation gate, a drawdown profile worse than any fold suggests, and a live book that has quietly become buy-and-hold by cash constraint rather than by design. Before promoting momentum-code, two things need fixing — the sizing/cash logic generating daily rejections, and enough trial discipline to lift that DSR above the bar.