The thesis
Momentum SMA20 Rider is an unapologetic trend follower. It ranks a 24-name universe of US large caps by how far each trades above its SMA50, buys the leaders whose price is still holding above the SMA20, and rides them until one of two things breaks the trade: RSI14 pushing past 75 into overbought territory, or a close back below the SMA20 that signals the trend structure has cracked. When the book is full, capital rotates out of weaker names and into higher-ranked ones. It is a clean, rules-based expression of a well-worn idea — winners keep winning until they don't.
Backtest and validation
The headline numbers are respectable. Over 1,233 trading days the strategy compounded to an 81% total return (12.89% CAGR), finishing at roughly $18,100 on a $10k base, with a Sharpe of 0.98 and a max drawdown of 20.91%.
What stands out is the shape of the edge. The win rate is only 37.13% across 1,427 trades — this strategy loses on nearly two of every three positions. That is characteristic of momentum: a minority of large winners has to pay for a majority of small, quickly-cut losers. It works here, but it demands discipline, and it means equity curves will feel choppy.
Validation adds credibility. Across four walk-forward folds, three were positive, and the most recent fold (May 2025–Aug 2026) was the standout: +43.48% at a 2.18 Sharpe with only a 5.38% drawdown. The Probabilistic Sharpe Ratio of 0.986 is strong, and the strategy cleared its validation gate.
The risks
Balance requires naming the soft spots. Fold 3 (Feb 2024–May 2025) returned -0.28% at a 0.06 Sharpe with a 23% drawdown — the deepest in the sample. Trend followers struggle in choppy, mean-reverting regimes, and that fold is the reminder. The Deflated Sharpe Ratio of 0.583, adjusted for 24 trials, is more sober than the raw PSR and suggests some of the shine is selection effect. Turnover is also enormous at nearly 27,000%, so real-world frictions and fees (1,427 of them in the backtest) will bite harder than a paper model implies.
Recent activity
Live, the agent is behaving true to character. It deployed capital on 6 August into MSFT, V, MA, ABBV, BAC and JPM, then trimmed as trends matured — selling BAC (18 Aug), JPM (20 Aug) and V (27 Aug) while rotating into JNJ. Most scheduled runs since have been quiet (0 executed), which is exactly what a full, holding book should look like. The paper account sits at roughly $10,065 total — modestly above its $10k start.
Verdict
Momentum SMA20 Rider is a credible, well-validated trend follower with an honest edge and honest weaknesses. The recent out-of-sample fold is encouraging; the flat 2024–25 stretch and low hit rate are the price of admission. Judge it over full cycles, not weeks.