The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe — the usual megacap-tech, financials, staples, and energy suspects like AAPL, NVDA, JPM, KO, and XOM — by how far each trades above its SMA50, then buys the leaders whose price is still holding above the SMA20. The exit discipline is where the character shows: positions are cut when RSI14 pushes past 75 (overbought) or when price closes back below the SMA20 (trend structure broken), and capital rotates into higher-ranked names once the book is full. It is a clean, rules-based expression of "ride confirmed uptrends, sell them when they crack."
Backtest performance
Over 1,233 trading days the strategy turned its book into a +81% total return (final equity $18,100.23), a 12.89% CAGR, and a Sharpe of 0.98. The maximum drawdown of 20.91% is respectable for a fully-invested momentum system. Two numbers demand a closer look. First, the win rate is just 37.13% across 1,427 trades — most positions lose money, and the return is carried by a minority of large winners. That is textbook trend-following, but it means the equity curve depends on the tails behaving. Second, turnover of 26,972% is enormous; the book churns constantly, and with 1,427 fee events, transaction costs are a structural drag rather than a rounding error.
Validation
The strategy passed walk-forward validation across 4 folds, 3 of which were positive. Out-of-sample it returned 43.48% at a 2.18 Sharpe — genuinely strong. The PSR of 0.986 says the Sharpe is very likely above zero, and crucially the deflated Sharpe (DSR) of 0.583, computed against 24 trials, still clears the bar after penalising for multiple testing. That is a meaningful guard against curve-fitting.
The fold-by-fold detail is more sobering. Fold 2 (late-2022 to early-2024) delivered +31.84%; fold 4 (mid-2025 onward) delivered +43.48% at Sharpe 2.18. But fold 3 (2024–2025) was essentially flat at -0.28% with a 23% drawdown — momentum simply stopped paying. The strategy's edge is real but regime-dependent: it thrives in trending markets and treads water in choppy ones.
Recent live activity
Live trading has been quiet. The last five scheduled runs (Sep 10–16) each executed zero trades, with the single recent fill being a KO buy on Sep 9. Cash sits at $337.64 and total equity around $9,860 — modestly below a $10,000 mark, so the live book is currently a touch underwater even as the backtest shines. Recent fills (KO round-tripped twice, MSFT bought and sold, JNJ and CVX added, JPM and BAC trimmed) show the rotation logic working, but also the whipsaw a 37% win rate implies.
Verdict
The strengths are a validated, multiple-testing-robust edge and disciplined exits. The risks are equally clear: reliance on a small share of winning trades, punishing turnover, and demonstrated flat stretches when trends fade. Promising — but one to judge over a full cycle, not a quiet fortnight.