The Thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe — think AAPL, MSFT, NVDA, JPM, KO, CVX and other blue chips — by distance above the SMA50, then buys only the leaders whose price is also holding above the SMA20. The premise is simple: names stretched furthest above their long moving average, with short-term structure intact, are in confirmed uptrends worth riding. Exits are equally mechanical — cut when RSI14 crosses 75 (overbought) or when price closes below the SMA20 (trend broken) — and capital rotates into higher-ranked names once the book is full.
Recent Activity
The strategy is live and trading daily. Over the past two weeks its scheduled runs have been quiet, typically executing zero or one order per session. Recent fills show the rotation logic at work: a round-trip in KO (bought at 89.75 on 2026-08-28, sold at 88.045, re-bought 22 shares at 87.82 on 2026-09-09), a partial MSFT trim on 2026-09-08, and fresh buys in CVX and JNJ against sells in V, JPM and BAC. Notably, the live paper account has drifted down from roughly $10,095 on 2026-09-03 to $9,775.78 on 2026-09-09 — a modest but real live drawdown that stands apart from the glossy backtest, and a reminder that recent months have not been a clean uptrend for this book.
Backtest and Validation
On paper the record is strong: an 81% total return over 1,233 trading days, a 12.89% CAGR, a final equity of $18,100, and a 20.91% max drawdown for a Sharpe of 0.98. Encouragingly, this survived out-of-sample scrutiny. Across four walk-forward folds, three were positive, the most recent (2025-05-17 to 2026-08-05) returning 43.48% at a 2.18 Sharpe with only a 5.38% drawdown. The deflated statistics are reassuring given 24 trials were tested: PSR of 0.986 and a DSR of 0.583, and validation passed.
Strengths and Risks
The strengths are real — regime-robust returns, tight recent drawdown control, and honest out-of-sample validation rather than a single lucky fit. But the risks deserve equal billing. The win rate is just 37.13%, so the whole edge rests on winners dwarfing a majority of small losers — psychologically and structurally fragile. Turnover of nearly 27,000% across 1,427 trades means fees and slippage matter; the backtest already absorbed $1,427 in fees. And Fold 3 is the cautionary tale: essentially flat (-0.28%) while enduring a 23% drawdown. In choppy, trendless tape this strategy pays to tread water. A DSR of 0.583, while passing, is not a blowout — the edge is genuine but modest. Ride it, but size it for the flat regimes, not the 43% ones.