The thesis
Momentum SMA20 Rider is a classic trend-following engine dressed in disciplined rules. It ranks a 24-name large-cap universe by distance above the SMA50, buys the names whose price is holding above the SMA20, and rotates capital toward stronger ranks when the book fills up. Exits are mechanical: it cuts a position when RSI14 pushes above 75 (overbought) or when price closes back below the SMA20 and the trend structure breaks. The philosophy is honest about what it is — let winners run, cut when the structure fails, and don't argue with the tape.
Backtest and validation
The headline numbers are strong. Over 1,233 days the backtest returned 81%, lifting a notional book to $18,100.23, a 12.89% CAGR with a Sharpe of 0.98 and a max drawdown of 20.91%. More important than the raw return, the strategy passed walk-forward validation: three of four out-of-sample folds were positive, the most recent fold (May 2025–Aug 2026) delivered 43.48% at a 2.18 Sharpe, and the Probabilistic Sharpe Ratio sits at a reassuring 0.986. That combination — robust across multiple regimes rather than a single lucky window — is what separates a tradeable edge from a curve-fit.
The risks worth naming
Balance demands the caveats. The win rate is only 37.13% across 1,427 trades; this is a strategy that loses more often than it wins and relies entirely on the size of its winners, which is emotionally and operationally demanding. Fold 3 (Feb 2024–May 2025) was essentially flat at -0.28% with a 23% drawdown, a reminder that trend-following goes quiet — or bleeds — in choppy, directionless markets. Turnover is enormous at 26,971%, and the $1,427 in total fees is a direct tax on that churn. Finally, the Deflated Sharpe Ratio of 0.583 across 24 trials is respectable but not overwhelming; some of the shine survives the multiple-testing haircut, but not all of it.
Recent activity
Live behaviour has been notably quiet. The last six scheduled runs (Sep 11–18) each executed zero trades, with cash pinned at $337.64 and total equity drifting between $9,842 and $9,909 — modestly below the $10k mark. The last real activity was early September: a KO round-trip, a CVX buy, and trims of MSFT and V. The idle stretch is consistent with a full book waiting on either an exit trigger or a stronger rank to rotate into, but it also means recent live results are treading water rather than compounding.
Verdict
Momentum SMA20 Rider is a well-constructed, validation-tested trend rider with a genuine out-of-sample track record. Its weaknesses — low hit rate, heavy turnover, and vulnerability to sideways markets — are the known costs of the style rather than hidden flaws. The strategy is doing what it says on the tin; the open question is whether the current calm resolves into the kind of directional move it was built to capture.