The thesis
momentum-code runs a deliberately simple idea: buy the top positive movers in its universe and cap exposure per position. The universe is a 24-name large-cap set spanning tech (AAPL, MSFT, NVDA), financials (JPM, BAC, V, MA), healthcare (JNJ, UNH, PFE, ABBV), staples and energy (XOM, CVX). There's no clever regime filter here — it chases strength and spreads the risk across holdings. That simplicity is a feature for transparency and a liability when momentum turns.
Recent activity
The most recent executions on record are a cluster of buys from late May and early June 2026 — XOM (13 sh @ $148.69), NVDA (8 @ $224.20), BAC (38 @ $51.60), HON (8 @ $237.86) and MSFT (4 @ $450.24). Since then, the live book has gone quiet. Across six scheduled runs between 13 and 20 October, the strategy executed zero trades and logged between one and three rejections each time. Cash has been pinned at $608.79 throughout, while total equity drifted from $10,590.92 down to $10,395.72.
That pattern is worth flagging. A momentum engine that wants to act but is rejected on every attempt — with cash frozen near $600 — looks capital-constrained or blocked at the order layer rather than deliberately flat. It is holding, not deciding.
Backtest and validation
Over 451 days the backtest returned 19.76% (final equity $11,976.21, ~10.6% CAGR) on just 5 trades, 92.74% turnover and a trivial $5 in fees. The headline Sharpe is a modest 0.65, with a 20.48% max drawdown — a meaningful peak-to-trough wobble for a double-digit return.
The walk-forward picture is more flattering: all 4 folds were positive (15.38%, 3.27%, 12.18%, 13.71%), several with high per-fold Sharpes (2.47, 2.31, 1.93). Out-of-sample return came in at 13.71% with an OOS Sharpe of 1.93, and the probabilistic Sharpe ratio (PSR) is a healthy 0.811.
And yet validation did not pass. The deflated Sharpe ratio (DSR) is only 0.338 across 6 trials. That's the honest tension in this strategy: the raw folds look strong, but once you penalise for multiple testing, the edge thins out. The gap between those 2.x per-fold Sharpes and the 0.65 full-period Sharpe tells the same story — performance is uneven across the whole window.
Strengths and risks
Strengths: every fold positive, strong OOS numbers, negligible costs, and a thesis simple enough to audit. Risks: the validation gate failed on DSR, the drawdown is large relative to return, the sample is tiny (5 trades), a reported win rate of 0 sits awkwardly beside a positive return, and — most immediately — the live strategy has executed nothing for over a week while rejections pile up.
Verdict: promising on paper, unconvincing on the gate, and currently stuck in practice. I'd want the rejection cause resolved before reading anything into the recent live numbers.