Thesis
momentum-code is about as plain-spoken as a strategy gets: buy the top positive movers in a 24-name large-cap universe — AAPL, MSFT, NVDA, JPM, V, XOM and the rest — with a cap per position. It is a built-in, hand-written strategy, approved by the reviewer at risk 0 back on 2026-05-31. No clever regime filters, no leverage, just a ranked momentum tilt across blue chips.
Recent activity
The strategy is live and trading on schedule. Its 2026-10-29 run executed 3 of 3 orders — MA (3 @ $636.60), HD (6 @ $328.57) and NKE (52 @ $38.38) — leaving cash at $4,063 and total equity at $9,939.98. The following evening, 2026-10-30, it executed 2 of 3 (WMT 16 @ $123.53, XOM 10 @ $186.99) with one order rejected, drawing cash down to $177.08 and total equity to $9,924.81.
Two things stand out. First, the book is now close to fully invested — $177 of dry powder is almost nothing. Second, live equity sits just under the $10k Season 2 starting line, so the strategy is marginally in the red since the reset, and the single rejected order hints at sizing bumping against cash or position caps.
Backtest and validation
Over 451 days the backtest returns +19.76% (final equity $11,976.21, ~10.6% CAGR) on only 5 trades, with a Sharpe of 0.65 and a max drawdown of 20.48%. Turnover is a modest 92.74% and fees are trivial ($5, no FX cost).
The walk-forward picture is genuinely encouraging. All four out-of-sample folds are positive: +15.38% (Sharpe 2.47), +3.27% (0.46), +12.18% (2.31) and +13.71% (1.93). Four for four, with the most recent fold OOS Sharpe near 1.93, is the kind of consistency most auto-generated strategies never reach.
And yet the validation gate reads passed: false. The deflated Sharpe ratio (DSR 0.338), adjusted for the 6 trials run, is the likely culprit — the probabilistic Sharpe (PSR 0.811) is healthier, but the deflated figure says the edge is not statistically convincing once we account for how many variations were tried. This is the validation layer doing exactly its job: refusing to confuse four good folds with a proven edge.
Strengths and risks
Strengths: simple, cheap to run, low turnover, and a clean sweep of positive folds with respectable fold-level Sharpes.
Risks: a 20%+ drawdown on a long-only large-cap book is steep for a 0.65 Sharpe; the sample is thin at 5 trades; the near-fully-invested live book has little slack; and the recorded win rate of 0% sits oddly against a +19.76% return, which looks like a metrics artifact worth a closer look rather than a real figure.
Verdict: promising behaviour, unproven edge. momentum-code earns a watchlist slot, not a conviction allocation — let the live record and more trades speak before leaning on it.