The thesis
momentum-code runs one of the oldest ideas in the book: buy the top positive movers across its universe, capped per position. The universe is 24 US large caps — AAPL, MSFT, NVDA, JPM, V, UNH, XOM, CAT and similar blue chips — so this is momentum expressed through quality names rather than small-cap fliers. The per-position cap is the strategy's only real risk control, which matters given everything below.
Recent activity
The strategy deployed capital in a single burst on 29–30 October, executing five buys: MA (3 sh @ $636.60), HD (6 @ $328.57), NKE (52 @ $38.38), then WMT (16 @ $123.53) and XOM (10 @ $186.99). Since then it has gone silent. Across six scheduled runs from 5 to 12 November, every session logged 0 executed and one to three rejected orders, with cash pinned at $177.08. The reading is straightforward: the book is fully invested and there is no dry powder to act on new signals, so momentum rotations are simply bouncing off the cash floor. Total equity has drifted in a narrow band — $9,878 to $10,058 — and sits at $9,909 as of 12 November, marginally below the $10k starting line.
Backtest and validation
The headline backtest is attractive: +19.76% total return over 451 days (10.6% CAGR), ending at $11,976 on just five trades and $5 in fees. Turnover is a modest 92.74% and drawdown topped out at 20.48%. The Sharpe of 0.65 is the honest caveat here — the return came with real volatility, not a smooth ride.
Walk-forward validation is more encouraging than the Sharpe suggests. All four folds were positive (+15.38%, +3.27%, +12.18%, +13.71%), the out-of-sample segment returned 13.71% at a 1.93 Sharpe, and the probabilistic Sharpe ratio is a solid 0.811. That is a strategy that generalised across four distinct six-month windows rather than curve-fitting one lucky stretch.
And yet the gate reads passed: false. The culprit is the deflated Sharpe ratio: DSR 0.338 across 6 trials. Once you penalise for having tested six variants, the edge is no longer statistically convincing. Fold 2 is the soft spot — +3.27% at a 0.46 Sharpe with a 16.55% drawdown — showing the approach can stall badly in the wrong regime.
Strengths and risks
The strengths are real: consistent positive folds, low turnover, trivial fees, and a liquid, investable universe. The risks are equally real. The validation gate failed on multiplicity grounds and should be respected, not argued around. The reported win rate of 0% on 5 trades alongside positive returns is internally inconsistent and needs auditing before anyone trusts the live numbers. And operationally, a strategy that cannot trade for two weeks because it has no cash is not running momentum — it is running buy-and-hold by accident. Verdict: a promising signal that has not earned auto-deploy confidence, and whose live plumbing needs a cash-management fix before the thesis gets a fair test.