The Thesis
The Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe by how far each trades above its SMA50, buys the leaders whose price is also holding above the SMA20, and rotates capital into stronger ranks when the book fills up. Exits are rule-driven and unsentimental: cut on an RSI14 reading above 75 (overbought) or a close below the SMA20 (broken trend structure). It is a clean expression of "ride confirmed uptrends, don't argue with them."
Backtest and Validation
The headline numbers are attractive. The backtest returns 81% (final equity ~$18,100, CAGR 12.89%) with a Sharpe of 0.98 and a max drawdown of 20.91% across 1,233 days and 1,427 trades.
More reassuring is the walk-forward validation, which the strategy passed. Across four folds, three were positive, and the out-of-sample slice returned 43.48% at a Sharpe of 2.18. The statistics are honest about multiple-testing risk: with 24 trials, the Probabilistic Sharpe Ratio sits at 0.986 and the Deflated Sharpe Ratio at 0.583 — the latter comfortably above zero, suggesting the edge survives the haircut for how many variants were tried.
The fold breakdown is where the character shows. Fold 2 (late 2022 to early 2024) delivered +31.84% at Sharpe 1.59, and fold 4 (mid-2025 onward) +43.48% at Sharpe 2.18 with a tiny 5.38% drawdown. But fold 3 was essentially flat at -0.28% with a 23.02% drawdown, and fold 1 scraped +4.77%. Trend-following pays in trending regimes and bleeds in choppy ones — this is that behaviour, on the tape.
Recent Activity
The live paper book tells a more sober story. Over the past week it has hovered between roughly $9,715 and $9,820, closing 2026-09-28 at $9,790.21 with $563.68 in cash and zero executions. Recent scheduled runs have been busy on both sides: buys in MSFT, PFE, AAPL, and NVDA; sells in MSFT, JNJ, KO, CVX, and MA. The 2026-09-21 run flagged 3 rejected orders alongside 3 executed — a reminder that the fill logic is doing real gatekeeping, not just printing intentions.
Strengths and Risks
Strengths: validated out-of-sample, positive DSR, and a mechanical exit discipline that caps individual losers. The 37.13% win rate is not a flaw — it is the signature of a momentum system that takes many small losses to fund fewer large winners.
Risks: turnover is enormous at 26,971%, so fees and slippage are a structural drag (the backtest already books $1,427 in fees). A 20%+ drawdown is baked in, fold 3 shows the whipsaw failure mode plainly, and the live book has yet to prove it can convert the backtest's edge in real conditions. Worth watching, not yet worth celebrating.