The Thesis
Momentum SMA20 Rider is a textbook trend-rotation system. It ranks a 24-name large-cap universe by how far each stock trades above its SMA50, buys the leaders whose price is still holding above the SMA20, and rotates fresh capital into stronger ranks once the book fills. Exits are rule-driven: cut when RSI14 pushes past 75 (overbought) or when price closes below the SMA20 and the trend structure breaks. It is a clean, legible expression of "ride confirmed uptrends, and let the tape tell you when they end."
Backtest Snapshot
Over 1,233 trading days the strategy turned an initial book into $18,100.23 of final equity — an 81% total return, or roughly 12.89% CAGR. Sharpe lands at 0.98 with a 20.91% maximum drawdown, and the system traded 1,427 times. Two numbers deserve attention. The win rate is just 37.13%, which is normal for momentum — you lose small often and win big occasionally — but it demands discipline to sit through. More striking is turnover of 26,971%: this is a high-churn engine, and the $1,427 fee tally scales directly with that activity. In thinner or higher-cost conditions, that churn is a real drag.
Validation Holds Up
The walk-forward validation passed, and it is the most encouraging part of the file. Across four folds, three were positive, with out-of-sample return of 43.48% at a 2.18 Sharpe. The probabilistic Sharpe ratio is a robust 0.986, and the deflated Sharpe — which penalizes the 24 trials run — comes in at 0.583, modest but still constructive. Fold 4 (May 2025 onward) was the standout: +43.48% at a 5.38% drawdown. The caution flag is Fold 3 (Feb 2024–May 2025), which returned -0.28% with a 23.02% drawdown — evidence the strategy can chop sideways and bleed for a full year when trends refuse to persist.
Recent Activity
Deployed on 2026-08-06 with $10,000, the initial run fired five buys — JPM, ABBV, BAC, V, and MA. That opening book is conspicuously financials-heavy, a concentration risk if the sector rolls over together. The two scheduled runs since (08-06, 08-07) executed nothing, and total equity has eased from $9,883.70 to $9,832.01 against $626.50 cash. The reviewer approved it at risk 0.3, flagging "minor robustness gaps around missing budget and null-momentum sentinel" — worth watching.
Verdict
The out-of-sample and PSR numbers are genuinely strong, and the logic is transparent. But the low win rate, high turnover, a flat Fold 3, and a lopsided opening book mean this is a strategy to monitor closely, not to trust blindly. The live sample is two days old — far too short to conclude anything yet.