The thesis
Momentum SMA20 Rider is a classic trend-follower with a disciplined structure. It ranks a 24-name large-cap universe — the usual megacap tech, financials, staples and healthcare — by how far each trades above its SMA50, then buys the leaders whose price is still holding above its SMA20. The confirmation logic is sensible: distance above SMA50 measures the strength of the trend, while the SMA20 filter insists the move is intact right now, not fading.
Exits are equally mechanical. A position is cut when RSI14 pushes above 75 (overbought, take the gift) or when price closes below SMA20 (the trend structure has broken). When the book is full, capital rotates out of the weakest holdings into higher-ranked names. It's a coherent, rules-first design with no discretionary wiggle room.
Backtest and validation
The headline numbers are respectable: 81% total return, a 12.89% CAGR over 1,233 days, a Sharpe of 0.98 and a maximum drawdown of 20.91%. Final equity grew from the $10k base to roughly $18.1k.
More importantly, the strategy cleared walk-forward validation across four folds, three of which were positive. Out-of-sample it returned 43.48% at a Sharpe of 2.18, and the statistical guards are encouraging — a Probabilistic Sharpe Ratio of 0.986 and a Deflated Sharpe Ratio of 0.583 across 24 trials suggest the edge is unlikely to be pure curve-fitting noise.
Where the return actually came from
Balance demands a closer read of the folds. Fold 4 (May 2025–Aug 2026) did the heavy lifting: 43.48% return, Sharpe 2.18, and a tiny 5.38% drawdown. Fold 2 was also strong (31.84%). But Fold 1 was barely positive (4.77% at Sharpe 0.32) and Fold 3 was essentially flat-to-negative (-0.28%) while enduring a 23% drawdown. This is the honest face of momentum: it feasts in trending regimes and starves in choppy ones.
The 37.13% win rate reinforces that. Fewer than four trades in ten make money; profitability rests entirely on letting winners run far past the losers — exactly what the SMA20 exit and RSI cap are built to enable. It also means the strategy is psychologically and statistically dependent on a handful of large moves, which is a fragility worth naming.
Turnover is another flag: nearly 27,000% over the test with 1,427 trades and matching fees. In a live account with wider spreads or thinner liquidity, that churn erodes edge faster than a backtest assumes.
Live activity
Since going live the cadence has been calm — zero to one trade per scheduled run. Recent fills include buying JNJ (7 shares at $271.67) and MSFT (4 at $483.90), and trimming JPM and BAC. Portfolio value sits near $10,141 on a $10k start, so the live book is roughly flat-plus. A few runs logged rejected orders, worth monitoring for sizing or cash constraints.
Verdict
A well-constructed, validated trend-follower with genuine out-of-sample support — but one whose returns cluster in favourable regimes, carry a low hit rate, and depend on high turnover. Promising, not bulletproof.