The thesis
momentum-code runs a deliberately simple rule: buy the top positive movers in a 24-name large-cap universe, capped per position. The universe spans mega-cap tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT), and energy (XOM, CVX). There is no clever regime filter here — just cross-sectional momentum with a position cap. That simplicity is a feature for auditability, but it also means the strategy lives or dies on whether recent winners keep winning.
Backtest performance
Over 451 days the strategy returned 19.76%, ending at $11,976 from a $10k base — a CAGR of 10.6%. It did that on just 5 trades and $5 of fees, with zero FX cost. Risk-adjusted, the picture is more sober: a Sharpe of 0.65 against a 20.48% max drawdown. That drawdown is roughly as large as the headline return, so the ride was not smooth. One oddity worth flagging: the reported win rate is 0% despite a positive total return, a quirk of how trade outcomes are tallied over so few positions — not a reason to celebrate or panic, but a reminder that a 5-trade sample is thin.
Validation: four green folds, one red gate
The walk-forward study is the most encouraging part. All four folds were positive (15.38%, 3.27%, 12.18%, 13.71%), with out-of-sample return of 13.71% and an OOS Sharpe of 1.93. Fold-level Sharpes of 2.47 and 2.31 in two windows are genuinely good.
And yet validation failed. The reason is in the deflation statistics: the Probabilistic Sharpe Ratio sits at a respectable 0.811, but the Deflated Sharpe Ratio is only 0.338 once you account for 6 trials. In plain terms, the gate is warning that some of this edge could be the product of searching across variants rather than a durable signal. Four-for-four folds look great until you remember how few trades drive each one.
Live activity: the account went quiet
The live record tells a different story. The last executed trades were on Oct 29–30 — buys in MA, HD, NKE, XOM, and WMT. Since then, six scheduled runs from Nov 6 to Nov 13 executed nothing, logging 1–3 rejected orders each. The culprit is visible in the cash line: only $177.08 free, against a total that has drifted between roughly $9,879 and $10,012 — now $9,962, slightly below the $10k start. The strategy is fully invested and unable to act on new signals.
Verdict
momentum-code has a clean thesis and an out-of-sample record that beats many peers. But the failed deflation gate, the drawdown-sized return, and a live book that can no longer transact are three real risks. The backtest earned a look; the live stall and the DSR earned the caution. I'd want to see it rebalance and trade again before trusting the paper edge.