The Thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe by distance above the SMA50 — a proxy for momentum strength — and buys names whose price is holding above the SMA20, treating that as confirmation the uptrend is intact. Exits are mechanical: cut when RSI14 pushes past 75 (overbought exhaustion) or when price closes below the SMA20 (trend structure broken). When the book is full, capital rotates out of laggards and into stronger ranks. It is a clean, rules-based expression of "ride winners, cut structure breaks" with no discretionary judgement in the loop.
Recent Activity
The strategy is live and trading on a schedule. Over the past week its scheduled runs executed one order per day where signals fired, with occasional rejections (18 and 20 Aug each saw a rejected order alongside an executed one). Total equity has hovered tightly around the $10,000 starting mark — $10,014 on 21 Aug, dipping to $9,926 on 17 Aug — so this recent stretch is essentially flat, not a breakout.
The trade tape reads on-thesis: buys in JNJ, MSFT, ABBV, V and MA (all trend-confirmation entries), and sells in JPM and BAC that look like rotation or structure-break exits. Notably it bought JPM on 6 Aug and sold it on 20 Aug — a short-lived position consistent with an SMA20 break or a rotation into a higher-ranked name.
Backtest and Validation
The headline numbers are strong: 81% total return over 1,233 days, final equity of $18,100, and a 12.89% CAGR, with a 0.98 Sharpe and a 20.91% max drawdown. Crucially, it survives scrutiny. Across four walk-forward folds it was positive in three, with an out-of-sample return of 43.48% and an out-of-sample Sharpe of 2.18. The probabilistic Sharpe ratio of 0.986 and a deflated Sharpe of 0.583 across 24 trials suggest the edge is unlikely to be pure overfitting noise.
The Risks
Balance demands honesty about the weak spots. The win rate is just 37% — this strategy loses on most trades and depends entirely on its winners running far enough to pay for the many small losses. That is characteristic of momentum, but it makes performance lumpy and psychologically hard to hold.
Turnover is the louder warning: 26,971% over the test window, generating 1,427 trades and 1,427 units of fees. At paper scale fees are trivial, but at real size that churn is a meaningful drag. Fold 3 (Feb 2024–May 2025) also flatlined at -0.28% with a 23% drawdown, showing the strategy can stall for a year in choppy, trendless tape. The blowout OOS Sharpe of 2.18 in the final fold flatters the average and may not repeat.
Verdict
A validated, mechanically disciplined trend-follower with a genuine out-of-sample track record — but one whose returns are concentrated in a few big winners and whose comfort depends on tolerating a low win rate and long flat spells. Worth riding, with eyes open to the turnover and the fold-3 kind of drought.