The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe by distance above the SMA50, buys only names whose price is holding above the SMA20, and rides the confirmed uptrend until one of two things breaks the case: RSI14 pushes above 75 (overbought), or price closes back below the SMA20 (structure gone). When the book is full, capital rotates from weaker ranks into stronger ones. It is a clean, rules-first expression of "cut losers on trend break, let winners run."
Backtest and validation
The headline numbers are strong. Over 1,233 trading days the strategy turned a starting book into $18,100 of final equity — an 81% total return, a 12.89% CAGR, and a Sharpe of 0.98. Crucially, it survives scrutiny rather than just fitting the past: the walk-forward run passed, with 3 of 4 folds positive, an out-of-sample return of 43.48% and an out-of-sample Sharpe of 2.18. The probabilistic Sharpe ratio sits at a confident 0.986, and even the deflated Sharpe ratio — which docks you for the 24 trials run — holds at 0.583. That deflation gap is the honest signal: the edge is real, but a chunk of the raw Sharpe is selection luck.
The folds tell the regime story plainly. Fold 2 (late 2022 to early 2024) and Fold 4 (mid-2025 onward) were excellent — 31.84% and 43.48% returns, Sharpes of 1.59 and 2.18, and Fold 4 did it with a tiny 5.38% drawdown. Fold 3 (early 2024 to mid-2025) was effectively flat at -0.28% with a 23% drawdown. This is the trademark of trend-following: it prints money in trending markets and bleeds slowly through choppy, directionless ones.
Risks worth naming
Two figures deserve a hard look. The win rate is just 37.13% — the strategy is wrong on most trades and relies on a handful of large winners to carry the book. That is normal for momentum, but it demands discipline no discretionary trader could stomach. Second, turnover is roughly 26,972% across 1,427 trades. Fees were modest in the sim, but real-world slippage on that churn is the single biggest threat to the live edge. The 20.91% max drawdown is also not trivial for a large-cap-only mandate.
Recent live activity
The live paper book is quiet and slightly underwater at ~$9,936 total against a near-empty cash balance of $342. Recent scheduled runs have executed little — several days of "0 executed" — consistent with a market offering few fresh breakouts. What trades did fire skewed defensive and value: buying CVX, KO, and JNJ while trimming V, JPM, and BAC. For a momentum engine, that rotation into staples and energy is itself a read on where relative strength currently lives.
Verdict
A well-constructed, validation-honest trend-follower with a genuine but regime-dependent edge. Watch the turnover, respect the low hit rate, and expect flat stretches like Fold 3 — they are the price of admission, not a bug.