The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe — the usual megacap tech, financials, healthcare, staples and energy suspects — by distance above the 50-day moving average, then buys the leaders only once price confirms above the SMA20. Exits are equally mechanical: it cuts when RSI14 pushes past 75 (overbought) or when price closes back below the SMA20 (trend structure broken), rotating freed capital into higher-ranked names when the book is full.
This is textbook momentum discipline: let winners run, sever losers at the first structural crack. It is not clever, and that is the point.
Backtest performance
Over 1,233 trading days the strategy turned a notional book into $18,100 — 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 real pain a live holder would have had to sit through.
Two numbers deserve a hard look. The win rate is just 37.13% — this system loses on nearly two of every three trades and still profits, which only works if the winners are large and the losers are cut fast. That is consistent with a momentum design, but it demands emotional tolerance. Second, turnover of ~26,971% across 1,427 trades is enormous. Fees here were modest ($1,427, no FX cost), but in a higher-cost or higher-slippage environment that churn is a genuine threat to the edge.
Validation
The walk-forward evidence is the strongest part of the story. Across four folds the strategy validated (3 of 4 positive), with an out-of-sample return of 43.48% and an OOS Sharpe of 2.18. The Probabilistic Sharpe Ratio of 0.986 is excellent, though the Deflated Sharpe of 0.583 — which penalises the 24 trials run — is a more sober read and worth trusting more.
Fold detail matters: 2022–2024 (fold 2) and 2025–2026 (fold 4) were excellent, but fold 3 (Feb-2024 to May-2025) returned -0.28% with a 23% drawdown. Trend strategies stall in choppy, rotational markets, and that fold is the honest reminder.
Live activity
The live paper book tells a quieter tale. Recent scheduled runs show mostly zero or one execution per day, with total equity drifting around $9,940–$10,095 — essentially flat to slightly underwater against a $10k start. Recent trades (CVX and JNJ buys, a KO round-trip, MSFT added, BAC and JPM trimmed) show the rotation logic working, but the live tape has not yet delivered backtest-like returns.
Verdict
A well-validated, disciplined momentum system with a credible edge — tempered by a low win rate, heavy turnover, and a live result that has yet to catch up to the backtest. Strong bones; watch the churn and the chop.