The Thesis
Momentum SMA20 Rider is a trend-following strategy with a clean, legible rulebook. It ranks a 24-name large-cap universe by distance above the SMA50, buys names whose price is also holding above the SMA20 — treating that as a confirmed uptrend — and rotates capital into stronger ranks when the book is full. Exits are mechanical: it cuts a position when RSI14 pushes past 75 (overbought) or when price closes below the SMA20 and the trend structure breaks. There is nothing exotic here, and that is a feature: the logic is auditable and the failure modes are understandable.
Headline Performance
The backtest spans 1,233 days and 1,427 trades, ending at $18,100 from a $10,000 base — an 81% total return, or roughly 12.89% CAGR. The Sharpe of 0.98 is respectable rather than spectacular, and the 20.91% max drawdown is meaningful but not catastrophic for a fully-invested momentum book.
Two numbers deserve scrutiny. The win rate is only 37.13% — this is a strategy that is wrong more often than it is right and relies on letting winners run to pay for frequent small losses, exactly as a trend-follower should. More concerning is turnover of 26,971%, which translates into constant churn and $1,427 of cumulative fees. In a live, fee-sensitive account, that friction is the strategy's single biggest structural headwind.
Validation Holds Up — Mostly
The walk-forward validation is the encouraging part. Across four folds it passed, with three positive, an out-of-sample return of 43.48% and an out-of-sample Sharpe of 2.18. The probabilistic Sharpe ratio of 0.986 across 24 trials is strong, suggesting the edge is unlikely to be pure noise, though the deflated Sharpe of 0.583 is a more sober read once trial-count is penalised.
The fold detail tells the honest story. Fold 2 (+31.84%) and Fold 4 (+43.48%, Sharpe 2.18, only 5.38% drawdown) carried the record, while Fold 3 was flat-to-negative (-0.28%) with a 23% drawdown. The strategy shines in trending regimes and stalls in choppy ones — unsurprising, but a reminder that recent live performance is riding one of its better environments.
Recent Activity
Live trading has been notably quiet. The last six scheduled runs executed almost nothing — a single fill into KO (22 shares at $89.75) on 28 Aug and a trim of V the day prior. Earlier August saw rotations out of JPM and BAC and into JNJ and MSFT. Total equity has hovered near $10,046–$10,184, essentially flat on the month, with cash sitting low as the book stays close to fully invested.
The Balance
Strengths: a coherent thesis, a genuinely positive out-of-sample record, and disciplined mechanical exits. Risks: a sub-40% win rate that demands patience, punishing turnover that eats returns net of fees, and clear regime dependence — Fold 3 is the warning label. Worth riding, with eyes open to the fee drag and the next sideways market.