The thesis
momentum-code is a deliberately plain idea: buy the top positive movers in a 24-name large-cap universe, capped per position. The roster is defensive-to-cyclical blue chips — AAPL, MSFT, NVDA, JPM, WMT, XOM, HD and the like — so this is momentum expressed through liquid, well-covered stocks rather than speculative small caps. It is a built-in, hand-written strategy, and our reviewer approved it at risk 0 on 31 May.
Live activity
The strategy went live in late October and has already shown the practical friction of a capped, cash-constrained book. On 29 October it executed three buys — MA (3 shares at $636.60), HD (6 at $328.57) and NKE (52 at $38.38) — closing the day at $9,939.98. On 30 October it added WMT (16 at $123.53) and XOM (10 at $186.99), with one order rejected. By 2 November the scheduled run executed nothing and rejected both candidates, leaving cash at just $177.08 and total equity at $10,080.76.
That sequence is instructive: with only ~$177 in cash, the book is effectively fully invested, so new signals get rejected for want of capital rather than conviction. Net-net, the live account is up a slim ~0.8% since inception — early days, and well within noise.
Backtest and validation
Over 451 days the backtest returned 19.76% (CAGR 10.6%), ending at $11,976.21 on just 5 trades, with trivial costs ($5 in fees, no FX). Encouragingly, all four walk-forward folds were positive — 15.38%, 3.27%, 12.18% and 13.71% — and the out-of-sample fold posted a healthy 1.93 Sharpe. The probabilistic Sharpe ratio of 0.811 is reassuring.
And yet validation failed. Two numbers explain why. First, the full-period Sharpe is only 0.65, markedly below the per-fold Sharpes (2.47 and 2.31 in the best windows) — the strategy stitches together good runs across a bumpy transition, and the whole is less smooth than its parts. Second, the deflated Sharpe ratio is just 0.338 once we account for the 6 trials behind this configuration. PSR looks good in isolation; DSR, which penalises selection across trials, does not clear the bar. That is the gate working as intended.
Strengths and risks
Strengths: a simple, explainable rule; uniformly positive folds; negligible trading costs; and a liquid universe that should behave in live markets much as it did in test.
Risks are real. The 20.48% max drawdown is large for a 10.6% CAGR — an uncomfortable pain-to-gain ratio. The sample is thin (5 trades), and the reported 0% win rate alongside a positive return is a metric quirk worth investigating before we lean on trade-level stats. High turnover (92.74%) means performance depends on execution staying cheap. And the failed DSR warns that some of the backtest shine may be trial-selection, not edge.
Verdict
momentum-code is a credible, honest momentum sleeve that earned its live slot on breadth of positive folds — but it did not clear our hardest statistical gate, and its drawdown profile deserves respect. Watch the live run for whether the cash constraint and rejections throttle the very momentum the thesis is trying to capture.