The Thesis
Momentum SMA20 Rider is a straightforward trend-follower with a clear rulebook. It ranks a 24-name universe of US large caps — think AAPL, MSFT, NVDA, JPM, JNJ, XOM — by how far each trades above its SMA50, and buys the leaders once price confirms above the SMA20. Exits are equally mechanical: it trims when RSI14 pushes past 75 (overbought) or when price closes back below the SMA20, signalling the trend structure has broken. When the book is full, capital rotates out of laggards and into stronger ranks. It is momentum in its most honest form: buy strength, cut weakness, let rank decide.
Backtest and Validation
The headline numbers are attractive. Over 1,233 trading days the strategy returned 81% (final equity ~$18.1k on a $10k base), a 12.89% CAGR, with a 0.98 Sharpe and a 20.91% max drawdown. Crucially, it survives walk-forward scrutiny: validation passed across 4 folds, 3 of them positive, with a 43.48% out-of-sample return and a striking 2.18 OOS Sharpe. A Probabilistic Sharpe Ratio of 0.986 across 24 trials is reassuring, and the Deflated Sharpe of 0.583 — while more modest — still clears the bar once you penalise for the search effort.
The fold detail tells the real story. Fold 4 (May 2025–Aug 2026) did the heavy lifting: +43.48% at a 2.18 Sharpe with just a 5.38% drawdown. Fold 2 was strong too (+31.84%). But Fold 3 (Feb 2024–May 2025) was essentially flat at -0.28% with a 23% drawdown, and Fold 1 limped to +4.77%. The equity curve is real, but it is lumpy — this strategy earns its keep in trending regimes and treads water when momentum stalls.
The Risks Worth Naming
Two numbers deserve caution. First, the 37.13% win rate: most trades lose, and profitability depends entirely on the winners running far enough to pay for the losers. That is textbook momentum, but it demands discipline and a tolerance for frequent small losses. Second, turnover of ~26,970% across 1,427 trades. Fees totalled $1,427 — roughly a dollar a trade in this model — but in a higher-friction live environment, that churn is a genuine drag and a source of slippage risk the backtest may understate.
Recent Live Activity
Live behaviour has been quiet. The book sits around $10,184 total with $464 in cash, and the last two scheduled runs (24–25 Aug) executed nothing. Earlier in the week it was more active: a JNJ buy (7 @ $271.67) on the 21st, a JPM trim (5 @ $352.96) on the 20th, an MSFT add (4 @ $483.90) on the 19th, and a BAC exit on the 18th. A couple of runs logged rejections, suggesting sizing or cash constraints bit at the margin.
Verdict
A well-validated momentum engine with a credible edge — but one whose returns are concentrated in favourable regimes and whose low hit rate and high turnover leave little room for execution error. Worth watching; not worth over-trusting the smooth-looking headline." }