The thesis
Momentum SMA20 Rider is a textbook trend-continuation system. It ranks a 24-name large-cap universe — mega-cap tech (AAPL, MSFT, NVDA, GOOGL), financials (JPM, V, MA), staples (KO, PG, COST), and energy (XOM, CVX) — by how far each trades above its SMA50, buys the leaders while price holds above the SMA20, and rotates into stronger ranks when the book is full. Exits are mechanical: RSI14 above 75 (overbought) or a close back below the SMA20 (trend structure broken). There is no discretion here, which is a virtue for reproducibility and a constraint in choppy markets.
Performance and validation
The headline backtest is strong: 81% total return over 1,233 days, growing a notional book to $18,100, a 12.89% CAGR, and a Sharpe of 0.98. More reassuring than the raw return is the walk-forward validation, which the strategy passed. Across four folds, three were positive, out-of-sample return came in at 43.48% with an out-of-sample Sharpe of 2.18, and the deflated statistics — a PSR of 0.986 and a DSR of 0.583 across 24 trials — suggest the edge survives a haircut for selection bias. That combination is rarer than it looks.
The fold detail tells the honest story, though. Fold 2 (+31.84%, Sharpe 1.59) and fold 4 (+43.48%, Sharpe 2.18, and a tidy 5.38% max drawdown) carry the record. Fold 1 barely cleared water at +4.77%, and fold 3 was effectively flat at -0.28% with the deepest drawdown of the set (23.02%). This is a strategy that prints when trends are clean and treads water — or bleeds — when they are not.
Risks worth naming
Two numbers deserve a skeptic's attention. First, the win rate is just 37.13% across 1,427 trades: nearly two of every three positions lose money, and the whole return depends on winners outrunning losers. That is normal for momentum, but it means the equity curve is tail-driven and psychologically hard to hold. Second, turnover is enormous — roughly 26,972% — which racks up fees ($1,427 in the backtest) and makes the strategy sensitive to slippage and any drift in real fill quality. The 20.91% full-sample max drawdown is manageable but not trivial.
Recent activity
The live paper book has been quiet and slightly soft. Scheduled runs on 2026-09-10 through 09-14 mostly executed zero trades, with total equity hovering around $9,780–$9,886 and cash pinned near $337 — essentially fully invested and marking time. Recent fills show the rotation logic at work: a KO round-trip late August into September, an MSFT position opened 08-19 and trimmed 09-08, and exits in JPM, BAC, and V as their structure weakened. Nothing here contradicts the model; it simply underscores that the live account is currently in a low-conviction, low-turnover patch rather than one of its trending payoff windows.
Verdict
The validation is credible and the design is disciplined, but this is a feast-or-famine trend-follower. Judge it over a full cycle, not a quiet fortnight — and size it for the 37% win rate, not the 81% headline.