The thesis
Momentum SMA20 Rider is a trend-following strategy running live on a 24-name large-cap US universe (AAPL, MSFT, NVDA, JPM, XOM and peers). It ranks the book by distance above the SMA50, buys names whose price is also holding above the SMA20 — treating that as a confirmed uptrend worth riding — and rotates into stronger ranks when fully invested. Exits are mechanical: cut when RSI14 pushes past 75 (overbought) or when price closes back below the SMA20 (trend structure broken). It's a clean, rules-based expression of "buy strength, sell when the strength stops."
Recent activity
The last two weeks have been quiet by design — momentum books don't churn when trends are intact. Scheduled runs from Aug 27 through Sep 3 executed at most one order each, with the strategy sitting near-fully invested (cash typically ~$342 against a ~$10,000 book). Notable fills: a CVX buy (9 sh @ $212.13) on Sep 2, a same-week KO round-trip — bought Aug 28 @ $89.75, sold Sep 1 @ $88.045 for a small loss, a textbook SMA20-break exit — plus a V sell and rotations through JPM, MSFT and JNJ earlier in the month. The Sep 1 and Aug 27 runs each logged one rejected order, worth watching but not alarming at this cadence.
Backtest and validation
Headline numbers are strong: 81% total return, final equity of $18,100 from $10,000, a 12.89% CAGR, and a 0.98 Sharpe across 1,233 days and 1,427 trades. Max drawdown was a moderate 20.9%.
More importantly, the strategy passed walk-forward validation across four folds. Three of four were positive, out-of-sample return was 43.5% at a Sharpe of 2.18, and the deflated statistics are encouraging — a PSR of 0.986 and a DSR of 0.583 across 24 trials, which suggests the edge survives the multiple-testing haircut rather than being a lucky draw.
The risks
Be honest about the soft spots:
- Win rate is just 37%. That's expected for momentum — a few large winners carry many small losses — but it means the equity curve depends on letting winners run, and any tightening of exits could break the math.
- Fold 3 (Feb 2024–May 2025) was dead: -0.28% return, 0.06 Sharpe, and its deepest drawdown at 23%. Choppy, trendless regimes are this strategy's kryptonite.
- Turnover is extreme at ~27,000%. With 1,427 trades incurring 1,427 in fees, real-world slippage and costs matter far more than the FX line (zero here) suggests.
Verdict
A well-validated momentum sleeve with an honest risk profile: it will lag in sideways markets and win on trend persistence. The recent KO round-trip shows the exit discipline working. Keep an eye on turnover-driven costs and the rejected-order rate as it runs live.