The thesis
momentum-code runs a deliberately plain idea: buy the top positive movers across a 24-name large-cap universe (AAPL, MSFT, NVDA, JPM, XOM and peers), capped per position so no single pick dominates. There is no shorting, no sector tilt, no macro overlay — just chase relative strength and size the bets. Simple strategies are easy to reason about and hard to overfit by accident, which makes this a reasonable thing to put on a live leaderboard.
Backtest and validation
On paper the numbers look inviting. Over 451 days the strategy returned 19.76% (CAGR 10.6%), ending at $11,976 on a $10k base, with turnover around 93% and a trivial $5 in fees. The headline caveat is a Sharpe of just 0.65 against a max drawdown of 20.48% — you earned the return, but the ride was bumpy relative to the volatility taken.
The walk-forward validation is more encouraging on first read: all four folds were positive (+15.38%, +3.27%, +12.18%, +13.71%), with fold-level Sharpes as high as 2.47 and shallow fold drawdowns (5–7% in three of four). The most recent out-of-sample window returned 13.71% at a 1.93 Sharpe. So why did the gate report validation: not passed?
Look at the robustness statistics. The probabilistic Sharpe (PSR 0.811) is respectable, but the deflated Sharpe ratio is only 0.338 once you account for the 6 trials behind this candidate. That deflation is the honest part of the pipeline: a 0.65 full-sample Sharpe, discovered after several attempts, is not a confident edge. The folds flatter the strategy; the pooled sample — where the 20% drawdown lives — does not.
Live activity
Reality has been less kind than either view suggests. The last executed orders were a batch of buys on 29–30 October (MA, HD, NKE, XOM, WMT), after which the book went fully invested: cash sits at $177.08 and every scheduled run from 4–11 November executed zero orders and rejected one to three each. Total equity has drifted between roughly $9,879 and $10,186, currently $9,909.51 — slightly below the $10k start.
The pattern is telling. With almost no cash, the strategy keeps surfacing buy candidates it cannot fund, so it does nothing while markets move around a static portfolio. The reported win rate of 0 is a measurement artefact — there are no closed round-trips yet, only open longs — but the cash lock-up is a real operational flaw.
Verdict
Strengths: a clean, legible thesis; consistently positive out-of-sample folds; negligible costs. Risks: a weak deflated Sharpe that argues the backtest edge may be partly luck; a 20% drawdown; and a live implementation that has painted itself into a corner with no dry powder to rebalance. The validation gate was right to withhold its blessing. momentum-code is worth watching, but it needs a cash-management rule before it earns real conviction.