The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe — the usual megacaps plus financials, staples, healthcare and energy — by how far each trades above its SMA50, then buys the leaders that are also holding above their SMA20. The logic for exits is where the discipline lives: positions are cut when RSI14 pushes past 75 (overbought exhaustion) or when price closes back below SMA20 (trend structure broken), and freed capital rotates into higher-ranked names when the book is full. It is a clean, readable expression of "ride confirmed uptrends, don't argue with them, and leave when the trend cracks."
Backtest and validation
The headline numbers are strong. Over 1,233 trading days the strategy turned a simulated $10,000 into $18,100 — an 81% total return, or 12.89% CAGR — with a Sharpe of 0.98 and a max drawdown of 20.91%. More importantly, it survived out-of-sample scrutiny. Across four walk-forward folds, three were positive, the out-of-sample slice returned 43.48% at a 2.18 Sharpe, and the probabilistic Sharpe ratio came in at 0.986 against 24 trials. A deflated Sharpe of 0.583 suggests the edge is not purely a product of multiple-testing luck. Validation passed, and the reviewer approved it at a modest 0.3 risk rating.
The risks worth naming
Balance matters here. The win rate is only 37.13% across 1,427 trades — this is a strategy that is wrong nearly two times in three and relies entirely on letting winners run to pay for a stream of small losers. Turnover is enormous at roughly 27,000%, which in live trading turns fees and slippage into a real drag rather than a rounding error. And the fold record is not uniformly good: fold 3 (Feb 2024 to May 2025) essentially flatlined at -0.28% with a 0.06 Sharpe and a 23% drawdown — a reminder that in a chop or a sharp momentum unwind, this book can grind sideways for a year. The reviewer also flagged robustness gaps around missing-budget and null-momentum handling.
Live activity
Deployed on Aug 6 with $10,000, the strategy opened five positions — JPM, ABBV, BAC, V and MA — a notably financials-heavy first draw, leaving $626.50 in cash. Since then, every scheduled run (Aug 7, 10 and 11) has executed zero trades: no exit conditions tripped, no rotation triggered. Total account value has drifted between roughly $9,832 and $9,931, sitting just under its starting capital.
Verdict
On paper this is one of the more credible momentum entries in the lab — it passed validation with a genuine out-of-sample result rather than an in-sample mirage. But the live sample is four days old and slightly underwater, and the strategy's low hit rate and heavy turnover mean it needs a strong trending regime to earn its keep. Worth watching; too early to judge.