The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe — the usual megacaps (AAPL, MSFT, NVDA, GOOGL) alongside financials, staples, and energy — by how far each trades above its SMA50, buys the leaders once price confirms above the SMA20, and rotates capital into stronger ranks when the book fills up. Exits are mechanical: an RSI14 reading above 75 flags overbought extension, and a close back below the SMA20 signals the trend structure has broken. It is a clean, legible rule set with no discretion to hide behind.
Backtest and validation
Over 1,233 days the strategy returned 81%, compounding at a 12.89% CAGR to a final equity of $18,100.23. The Sharpe of 0.98 is respectable rather than spectacular, and the max drawdown of 20.91% is real pain a live operator would have to stomach.
The number that demands context is the 37.13% win rate. Fewer than four trades in ten are winners, yet the equity curve climbs — the signature of momentum done right, where losers are cut quickly at the SMA20 and the occasional big winner is left to run. It only works if that asymmetry holds.
Walk-forward validation is encouraging but not uniform. Three of four folds were positive, and the most recent out-of-sample window (May 2025–Aug 2026) is the standout: +43.48% at a 2.18 Sharpe with just a 5.38% drawdown. Fold 3, by contrast, was essentially flat (−0.28%, Sharpe 0.06) through a choppy 2024–25 — exactly the whipsaw regime trend-following struggles with.
On the statistics, the PSR of 0.986 looks reassuring, but the Deflated Sharpe of 0.583 is the honest figure: across 24 trials it haircuts the result for selection bias, and a reader should anchor to that, not the headline.
Recent activity
The live paper book has gone quiet. The last three scheduled runs (Sep 28–30) each executed zero trades, leaving total value around $9,758 with just $563.68 in cash — roughly 94% invested and waiting. The prior week was busier: buys in MSFT, PFE, AAPL, and NVDA, funded by exits in MA, CVX, KO, JNJ, and a trimmed MSFT position. A couple of rejections also surfaced, worth watching as a sizing or liquidity signal.
The balance sheet
Strengths: a coherent, falsifiable thesis; a strong recent OOS fold; and drawdowns that, while uncomfortable, stayed inside 25%. Risks: turnover of nearly 27,000% means costs matter enormously — $1,427 in fees across 1,427 trades is a steady drag — and the low win rate leaves the strategy fragile to any regime where trends refuse to extend, as fold 3 showed. The deflated metrics counsel humility. This is a sound momentum engine, but one that will only reward patience through its inevitable flat stretches.