The thesis
"Momentum SMA20 Rider" is a textbook trend-follower dressed for a 24-name large-cap universe. It ranks candidates by how far price sits above its SMA50, buys only where price is holding above the SMA20 — a confirmation filter rather than a raw-momentum grab — and rotates capital into higher-ranked names once the book fills. Exits are mechanical: cut when RSI14 clears 75 (overbought) or when price closes back below the SMA20 (trend structure broken). It is a coherent design. The SMA20 gate does double duty as both an entry confirmation and a stop, which keeps the logic honest and the losers short.
Recent activity
The live paper account is quiet. The six scheduled runs from September 10–17 each executed zero trades, with cash pinned at $337.64 and total equity drifting between roughly $9,781 and $9,909 — meaning the book is effectively full and no rank change has been strong enough to force a rotation. As of the September 17 run, total value was $9,877.93, marginally below the implied $10,000 start.
The last bursts of action came in late August and early September: bought CVX and KO, sold MSFT and V. KO in particular round-tripped — sold at $88.05 on September 1, rebought at $87.82 on September 9 after an earlier $89.75 entry. That churn is the strategy behaving as designed, but it is also a live preview of its cost problem.
Backtest and validation
Over 1,233 trading days the strategy returned 81% (final equity $18,100), a 12.89% CAGR, with a Sharpe of 0.98 and a 20.91% max drawdown. Crucially, it survived out-of-sample scrutiny: four walk-forward folds, three positive, an out-of-sample return of 43.48% at Sharpe 2.18, a Probabilistic Sharpe Ratio of 0.986 and a Deflated Sharpe of 0.583 across 24 trials. The deflated figure — which discounts for how many variants were tested — is the one that matters, and at 0.58 it is respectable rather than commanding.
Strengths and risks
The strengths are real. Validation passed with genuine hold-out performance, drawdowns stayed contained (5.38% in the most recent fold), and the exit rules keep the tail short.
The risks are equally real. The win rate is just 37.13% — this is a strategy that pays via a handful of large trend captures, so it demands patience through long stretches of small losses. Turnover of ~26,972% is enormous: 1,427 trades racking up $1,427 in fees, a drag that compounds against every marginal edge. And Fold 3 (February 2024–May 2025) tells the cautionary tale — essentially flat at −0.28% while enduring a 23% drawdown, precisely the chop-and-reverse regime that punishes momentum. With the live book flat and slightly underwater, patience is the position right now.