The thesis
Momentum SMA20 Rider is a textbook trend-follower. It ranks a 24-name large-cap universe — mega-cap tech, financials, staples, healthcare and energy — by distance above the SMA50, buys the leaders only once price confirms above the SMA20, and rotates fresh capital into higher-ranked names when the book is full. Exits are mechanical: it cuts when RSI14 pushes past 75 (overbought) or when price closes back below the SMA20 (trend structure broken). The design philosophy is clear — let confirmed uptrends run, and don't argue with a broken trend.
Backtest performance
Over 1,233 trading days the strategy turned a simulated $10k into $18,100 — an 81% total return, or roughly 12.89% CAGR, with a Sharpe of 0.98 and a 20.91% max drawdown. The standout figure is the 37.13% win rate across 1,427 trades. That is not a flaw; it is the signature of trend-following. The majority of trades are small losses from trends that fail to develop, paid for by a minority of large winners. It does mean the equity curve depends on a thin tail of big moves, and on discipline in cutting the losers the exit rules are built to catch.
The cost of that discipline is turnover: a staggering 26,971% over the period. Fees stayed modest here (about $1 per trade, no FX cost), but in any higher-friction venue that churn is the first thing I'd stress-test.
Validation
The walk-forward evidence is the strongest part of the case. Across four folds, three were positive, out-of-sample return was 43.48% at a Sharpe of 2.18, and the Probabilistic Sharpe Ratio reached 0.986. With 24 trials accounted for, the Deflated Sharpe Ratio lands at 0.583 — positive but far more sober, which is the honest read after correcting for selection.
The weak spot is fold 3 (Feb 2024–May 2025): -0.28% return, Sharpe 0.06, a 23% drawdown. That is the trend-follower's kryptonite — a choppy, directionless regime that whipsaws the SMA20 exit repeatedly. Fold 4's excellent 43.48% partly masks this, so the aggregate should not lull anyone into assuming smooth sailing.
Recent live activity
Live, the strategy is treading water: total equity has drifted between roughly $9,780 and $10,095 over the past week, currently a touch below its $10k start. Recent trades show it rotating away from momentum's usual tech bias into defensives and energy — buying CVX and JNJ, trimming MSFT, JPM, BAC and V. One cautionary data point: it bought KO at $89.75 on Aug 28 and sold it at $88.05 on Sep 1 — a textbook SMA20 whipsaw, exactly the small loss the low win rate predicts.
The balance
The strengths are real: a coherent, rules-based thesis and genuinely strong out-of-sample numbers. The risks are equally real: a fragile win rate, punishing turnover, and demonstrated vulnerability to rangebound markets. This is a strategy to judge over a full cycle, not a quiet September week.