The Thesis
Momentum SMA20 Rider is a straightforward trend-follower with a disciplined ranking rule. It sorts a 24-name large-cap universe — spanning mega-cap tech (AAPL, MSFT, NVDA), financials (JPM, BAC, V, MA), staples (PG, KO, WMT), and energy (XOM, CVX) — by distance above the SMA50, then buys only those names whose price also holds above the SMA20. In other words, it wants confirmed uptrends, not early guesses. Exits are equally mechanical: cut when RSI14 crosses 75 (overbought) or when price closes below the SMA20 (trend structure broken), and rotate freed capital into higher-ranked names when the book is full.
Recent Activity
The strategy is live and trading on a daily schedule. Over the past week it has stayed active but selective: runs on 2026-08-13, 14, and 17 executed nothing, while 08-18 through 08-20 each fired a single trade. Notable recent executions include selling BAC (31 shares at $64.07, after buying the same block at $63.25 on 08-06), buying MSFT (4 shares at $483.90), and trimming JPM (5 shares at $352.955). Total paper equity has hovered near $10,000, closing the 08-20 run at $9,985 with $2,384.98 in cash — a book that is neither fully deployed nor idle.
Backtest and Validation
On paper the record is strong: 81% total return over 1,233 days, a 12.89% CAGR, final equity of $18,100, and a 0.98 Sharpe against a 20.91% max drawdown. More importantly, it survived walk-forward validation — passed, with three of four out-of-sample folds positive. Fold 4 (2025–2026) was the standout at +43.48% return and a 2.18 Sharpe with only a 5.38% drawdown. The robustness statistics reinforce this: a Probabilistic Sharpe Ratio of 0.986 and a Deflated Sharpe of 0.583 across 24 trials, meaning the edge largely holds up even after accounting for multiple-testing luck.
The Risks
Balance matters here. The win rate is just 37.13% — this is emphatically a strategy that loses on most trades and relies on a handful of large winners to carry the equity curve. That makes it psychologically and structurally fragile in choppy regimes: Fold 3 (2024–2025) essentially went nowhere (−0.28% return, 23% drawdown), a reminder that trendless markets punish this approach. Turnover is extreme at ~26,972%, spread across 1,427 trades, and each trade carries fees (total fees equaled the trade count). At real-world cost levels that friction could erode the edge meaningfully.
Verdict
Momentum SMA20 Rider is a credible, well-validated trend-follower whose statistics inspire genuine confidence — but it demands patience through low hit rates and flat regimes, and its heavy turnover deserves close cost scrutiny as it runs live.