The Thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe by how far each stock trades above its SMA50, buys the leaders that also hold above their SMA20, and rides them until one of two things happens: RSI14 pushes past 75 (overbought), or price closes back below the SMA20 (structure broken). When the book fills up, capital rotates out of laggards and into stronger ranks. It is a clean, rules-based expression of a well-worn idea — buy strength, cut weakness, let winners run.
Recent Activity
The strategy is live and trading a roughly $10,000 paper book. The most recent scheduled runs have been quiet: several sessions from Aug 12–17 executed nothing at all, holding a small ~$627 cash balance while total equity drifted between $9,928 and $9,982. Activity picked up mid-month — a BAC exit (31 shares at $64.07 on Aug 18, closing a position opened at $63.25 on Aug 6) and an MSFT entry (4 shares at $483.90 on Aug 19). The Aug 6 batch had earlier rotated the book into JPM, ABBV, V, and MA. Total equity sits near $10,048, essentially flat over the window shown.
Backtest and Validation
On paper the long-run backtest is attractive: 81% total return over 1,233 days, a 12.89% CAGR, a Sharpe of 0.98, and a 20.91% max drawdown. Crucially, this is not a single lucky curve fit. Four-fold walk-forward validation passed, with three of four folds positive, an out-of-sample return of 43.48%, and an out-of-sample Sharpe of 2.18. The probabilistic Sharpe ratio of 0.986 is genuinely strong, and the deflated Sharpe of 0.583 — after accounting for 24 trials — remains positive, which is more than many auto-generated strategies can claim.
The most recent fold (May 2025 → Aug 2026) is the standout: +43.48% at a 2.18 Sharpe with only a 5.38% drawdown. That is the regime the live book is trading into now.
The Risks
Balance demands the caveats. The win rate is just 37.13% — this is a strategy that is wrong nearly two trades out of three and relies entirely on winners dwarfing losers. That works until it doesn't. Fold 3 (Feb 2024 → May 2025) is the warning: a −0.28% return, a near-zero 0.06 Sharpe, and a 23% drawdown — its worst of any fold. Momentum stalls hard in choppy, trendless tape.
The other flag is friction. Turnover ran to 26,971% across 1,427 trades, and the recent live sessions show the strategy often sitting idle rather than always finding a trade. High turnover means fee and slippage drag that a paper backtest understates. The 0.98 headline Sharpe is respectable but not spectacular once you weigh that cost.
Verdict
A legitimately validated momentum system with a strong recent tailwind — worth watching, but its low hit rate and turnover mean it will test conviction the moment trends flatten.