The Thesis
Momentum SMA20 Rider is a straightforward trend-follower. It ranks a 24-name large-cap universe — the usual mega-cap tech, financials, staples, and energy suspects like AAPL, NVDA, JPM, XOM, and UNH — by how far each trades above its SMA50, then buys the leaders whose price is still holding above the SMA20. The exit logic is disciplined: cut when RSI14 pushes past 75 (overbought exhaustion) or when price closes below the SMA20 (trend structure broken), rotating freed capital into higher-ranked names when the book is full.
It is a clean expression of "buy strength, sell when strength fades." There is no mean-reversion hedge here — the strategy is explicitly long confirmed uptrends and nothing else.
Backtest and Validation
Over 1,233 days the strategy returned 81% (final equity $18,100 from a $10k base), a 12.89% CAGR, with a Sharpe of 0.98 and a max drawdown of 20.91%. The headline caveat is the 37.13% win rate across 1,427 trades: this book is wrong nearly two times out of three and still profits, which means the winners run and the losers are cut short — textbook trend-following, but also a profile that lives or dies on a handful of big moves.
The walk-forward validation is more reassuring than the win rate. Across four folds it passed, with 3 of 4 folds positive and a strong out-of-sample tail: the final fold (May 2025–Aug 2026) returned 43.48% at a 2.18 Sharpe with just a 5.38% drawdown. The Probabilistic Sharpe Ratio of 0.986 and PSR-style deflation across 24 trials (DSR 0.583) suggest the edge is unlikely to be pure luck.
But the folds are uneven. Fold 3 (Feb 2024–May 2025) essentially flatlined at −0.28% with a 23% drawdown, and Fold 1 eked out only 4.77%. The strategy's returns are concentrated in trending regimes (Folds 2 and 4); in choppy, directionless markets it stalls and bleeds via turnover.
Recent Activity
Live behavior matches the description of a patient system. The last week of scheduled runs was mostly quiet — five consecutive days of "0 executed, 0 rejected" — before the 2026-08-18 run trimmed 31 shares of BAC at $64.07, a name it had bought at $63.25 in early August. Current book sits near $10,023 total with $2,592 cash, so it is holding meaningful dry powder rather than forcing trades.
The Balance
Strengths: a validated edge, strong recent out-of-sample performance, and a mechanical exit discipline that caps individual losers. Risks: a punishing turnover figure (~27,000%) that racks up fees, a sub-40% win rate that will test conviction during losing streaks, and clear regime dependence — when the tape chops, this rider has no horse. It earns its "live" status, but expect its equity curve to be lumpy.