The Thesis
"Momentum SMA20 Rider" is a disciplined trend-follower. It ranks a 24-name large-cap universe — the usual megacap and blue-chip suspects, from AAPL and NVDA to JNJ and XOM — by how far each trades above its SMA50, buys the leaders once price confirms above the SMA20, and rotates into stronger ranks when the book is full. Exits are mechanical: an RSI14 reading above 75 (overbought) or a close below the SMA20 (broken trend structure) cuts the position. It is a clean expression of a well-worn idea: let winners run, cut the rest quickly.
Backtest Performance
Over 1,233 trading days the strategy returned 81%, finishing at $18,100 of equity for a 12.89% CAGR, a Sharpe of 0.98, and a max drawdown of 20.91%. The headline that deserves attention is the 37.13% win rate across 1,427 trades. That is not a flaw — it is the signature of trend-following. Most trades are small losses clipped at the SMA20 break; a minority of big winners carry the curve. The flip side is cost and churn: turnover ran to roughly 26,972%, and while fees totalled only $1,427 (about a dollar a trade here) with zero FX drag, that cadence leaves little room for a heavier real-world cost structure.
Validation
The strategy passed a 4-fold walk-forward test, with 3 of 4 folds positive and an out-of-sample return of 43.48% at an OOS Sharpe of 2.18. The Probabilistic Sharpe Ratio of 0.986 is reassuring, and the Deflated Sharpe of 0.583 — after accounting for 24 trials — still clears the bar, suggesting the edge is not purely data-mined.
The honest wrinkle is Fold 3 (Feb 2024–May 2025): essentially flat at −0.28%, a Sharpe of 0.06, and a 23% drawdown. That window is exactly the environment this design fears — a choppy, trendless tape where SMA crossovers whipsaw. Fold 4, by contrast, was its best (43.48%, Sharpe 2.18, a tidy 5.38% drawdown), which flatters the recent aggregate.
Recent Live Activity
The live book is more sober. Across late September it logged several zero-execution days, pinned by low cash ($563.68), before rotating on Oct 1–2: selling PFE, ABBV and AAPL, then buying CAT, AAPL and MSFT. Total equity sat at $9,625 on Oct 2 — modestly below an implied $10k start. The PFE round-trip (bought at $28.42, sold at $27.60) and the AAPL sell-then-rebuy a day later are textbook SMA20-break whipsaws: the rules cut cleanly, but churn costs ground.
Verdict
Strong validation, a coherent thesis, and good drawdown control in trending regimes. The risks are equally clear: a punishing win rate that demands discipline, heavy turnover, and documented fragility in sideways markets. Promising, not proven — the live tape has yet to validate the backtest.