The Thesis
Momentum SMA20 Rider is a textbook trend-rider. It ranks its 24-name large-cap universe by distance above the SMA50, buys the leaders whose price is holding above the SMA20, and treats that structure as confirmation of an uptrend worth staying in. Exits are rule-driven: cut when RSI14 pushes past 75 (overbought) or when price closes back below the SMA20 (structure broken), then rotate freed capital into higher-ranked names when the book is full. It is a clean, mechanical expression of "let winners run, cut the ones that stall."
Backtest Performance
Over 1,233 trading days the strategy returned 81%, ending at $18,100 of equity from a $10k base — a 12.89% CAGR. The Sharpe of 0.98 is respectable for a long-only momentum sleeve, and the 20.91% max drawdown is within the range you would expect from a book that stays fully invested in trends.
Two numbers deserve a hard look. The win rate is just 37.13% — most trades lose. That is characteristic of momentum, where a minority of big winners pay for a majority of small losers, but it demands discipline and leaves no room for the exit rules to slip. Turnover is enormous at roughly 26,972%, spread across 1,427 trades. The engine is constantly rotating, and the $1,427 in fees is a direct tax on that churn.
Validation
This is where the strategy earns credibility. A 4-fold walk-forward passed, with 3 of 4 folds positive. The most recent out-of-sample fold is the standout: 43.48% return, a 2.18 Sharpe, and only a 5.38% drawdown. A Probabilistic Sharpe Ratio of 0.986 and a Deflated Sharpe of 0.583 across 24 trials suggest the edge is unlikely to be pure luck even after accounting for selection.
The caveat is regime sensitivity. Fold 3 (Feb 2024–May 2025) returned −0.28% with a 23% drawdown and a flat 0.06 Sharpe. In chop, a trend-follower like this simply treads water while paying fees.
Live Activity
The live paper book tells the more sobering story. Recent scheduled runs show total equity hovering around $9,625–$9,770 — modestly below its starting line. Activity is light and a little restless: AAPL was sold at $329.83 on Oct 1 and rebought at $333.78 the next day, and ABBV was sold at $260.50 then repurchased higher at $264.48 days later. A full PFE round trip (bought $28.42, sold $27.60) booked a small loss.
Verdict
The validation is genuinely strong and the thesis is coherent. But the low win rate, punishing turnover, and a listless live start are reminders that this is a strategy whose returns are lumpy and regime-dependent. Worth riding — with expectations set for stretches of exactly the kind of sideways churn it is showing right now.