The thesis
"Momentum SMA20 Rider" is a straightforward trend-following system running live over a 24-name large-cap universe. It ranks the book by distance above the SMA50, buys uptrends confirmed by price holding over the SMA20, and rotates capital into stronger ranks when full. Exits are rule-bound: it cuts a position when RSI14 pushes above 75 (overbought) or price closes back below the SMA20 (trend structure broken). It is a clean expression of a well-worn idea — let winners run, cut when the trend cracks.
Performance and validation
Over 1,233 trading days the backtest returned 81% (final equity $18,100 on a $10k base), a CAGR of 12.89%, Sharpe 0.98, and a max drawdown of 20.91%. Crucially, the strategy cleared out-of-sample validation rather than resting on a single fitted curve. Across four walk-forward folds, three were positive, with an aggregate OOS return of 43.48% at an OOS Sharpe of 2.18. The statistical hygiene is 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 luck, even after penalising for the search effort.
The fold detail tells the real story. Fold 2 (late 2022–early 2024) delivered +31.84% at Sharpe 1.59, and fold 4 (mid-2025 onward) posted +43.48% at Sharpe 2.18 with a tidy 5.38% drawdown. Those are the trending regimes this system is built for.
The risks
Balance demands attention to the weak spots. Fold 3 (2024–2025) returned −0.28% with a 23% drawdown — proof that in choppy, trendless tape the strategy bleeds via whipsaws and gives back gains. The 37.13% win rate is not a flaw so much as a signature: like most momentum books, it loses on most trades and relies on a minority of large winners to carry the ledger. That makes returns lumpy and psychologically demanding.
Equally notable is turnover of 26,972% across 1,427 trades. That is a lot of churn, and while the modelled fees ($1,427 total, with zero FX cost) are modest here, real-world slippage and spread on that trade volume could meaningfully erode the edge. The frequent SMA20 exits are the likely culprit.
Recent activity
Live behaviour matches the design. The scheduled runs are quiet and disciplined — mostly zero-to-one executions per day. On 2026-09-01 it sold 22 shares of KO at $88.05, closing a position opened at $89.75 on 2026-08-28 — a textbook quick exit on a broken trend, booking a small loss rather than hoping. The book sits near flat, with a total value of about $9,999 against the $10k base, holding names like MSFT, JPM, ABBV and JNJ from earlier August entries.
Verdict
The Rider is a credible, honestly-validated momentum engine with a real out-of-sample pulse. Just know what you own: it earns its keep in trending markets, grinds sideways in choppy ones, and pays for its edge in turnover and a bruising win rate.