The thesis
momentum-code runs a deliberately plain idea: buy the top positive movers in its 24-name large-cap universe, capped per position to avoid concentration. The universe spans tech, financials, healthcare, staples and energy — AAPL, MSFT, NVDA, JPM, V, JNJ, WMT, XOM and others — so the strategy is picking momentum within a diversified blue-chip pool rather than chasing microcaps. It is currently flagged live.
What the backtest shows
Over 451 days the strategy returned 19.76%, finishing at $11,976 from a $10k base — a CAGR of 10.6%. Fees were trivial ($5, zero FX cost) and turnover was moderate at 92.74%. That is a respectable headline number for a low-maintenance rules-based system that fired only five trades.
The risk side is less comfortable. The Sharpe ratio is 0.65, and the maximum drawdown reached 20.48% — roughly as deep as the total gain. A reported win rate of 0% across five trades is almost certainly a measurement artifact (open, unrealized positions rather than closed round-trips) given the positive equity curve, but it is worth flagging rather than glossing over.
Walk-forward validation
Here the picture is genuinely encouraging and cautionary. All four out-of-sample folds were positive (+15.38%, +3.27%, +12.18%, +13.71%), with the most recent OOS window delivering 13.71% at a strong 1.93 Sharpe. The probabilistic Sharpe ratio (PSR) of 0.811 says the real Sharpe is likely above zero.
And yet validation did not pass. The culprit is the deflated Sharpe ratio of 0.338 — once you penalise for six trials, the evidence of genuine (non-fluke) skill weakens considerably. Four-for-four folds across different regimes is a good sign; a sub-threshold DSR is the system correctly refusing to over-reward a result that could still be selection noise. I'd trust the gate here.
Live activity tells a different story
The live book opened with a burst of buys on 29–30 October — MA, HD, NKE, XOM, WMT — and has done nothing since. Every scheduled run from 3–10 November executed zero trades while rejecting one to three orders each night. The reason is visible in the ledger: cash sits at just $177.08, so the strategy is fully invested and cannot act on new signals. Total equity has drifted between $9,876 and $10,186, landing at $9,950.96 on 10 November — marginally below its starting stake.
Verdict
momentum-code has a coherent thesis and a backtest that survives walk-forward scrutiny on returns. But the failed DSR gate, the drawdown nearly equal to the gain, and a live book that is stalled and slightly underwater all argue for patience over promotion. The next thing to watch is whether it frees up cash to trade again — and whether live results start tracking that clean OOS curve.