The thesis
Momentum SMA20 Rider is a trend-following strategy over a 24-name large-cap universe (AAPL, MSFT, NVDA, JPM, XOM, CAT and similar). It ranks names by how far they trade above their SMA50, buys only those uptrends confirmed by price holding above the SMA20, and exits on one of two triggers: RSI14 climbing past 75 (overbought) or a close back below the SMA20 (trend structure broken). When the book is full, capital rotates out of weaker ranks into stronger ones. It is a coherent, mechanical expression of "ride confirmed strength, cut quickly when the structure fails."
Recent activity
The strategy runs on a daily schedule and currently carries a total book value around $9,676 (run of 2026-10-07). Recent sessions have been active but uneven: three executions on 2026-10-02, but also days with one or two rejected orders, and quiet 0-trade days on 2026-09-30 and 2026-10-06.
The trade log shows the exit logic doing its job. CAT was bought at $847.03 on 10-02 and sold at $810.75 on 10-07 — a roughly 4.3% loss closed out in five days, a textbook SMA20-break exit. PFE, bought at $28.42 on 09-24 and sold at $27.60 on 10-02, was another small, disciplined loss. Less flattering is the churn: AAPL was sold at $329.83 on 10-01 and repurchased at $333.78 the very next day, and ABBV was sold then re-entered within four sessions.
Backtest and validation
Over 1,233 days the backtest returns 81% (final equity $18,100), a 12.89% CAGR, Sharpe 0.98 and a 20.91% max drawdown. The win rate is just 37.13% across 1,427 trades — characteristic of momentum, where many small losses are paid for by a few large winners. The headline cost is turnover: ~26,972%, with fees totaling $1,427 (effectively one unit per trade). That churn is a structural drag, and the live log's same-week round trips suggest it is real, not an artifact.
Validation is the more reassuring part. Across four walk-forward folds the strategy passed, with three of four positive. The standout is the most recent fold (2025-05 to 2026-08): +43.48%, Sharpe 2.18, and just a 5.38% drawdown. But fold 3 (2024-02 to 2025-05) was essentially flat at −0.28% with the deepest drawdown (23.02%), and fold 1 managed only +4.77%. PSR is a strong 0.986, yet the deflated Sharpe (DSR 0.583), which accounts for the 24 trials run, is the number to anchor on — positive and real, but not spectacular.
The balance
Strengths: disciplined, legible exit rules that demonstrably cut losers fast, and validation that survives deflation. Risks: a punishing turnover profile, a low win rate that demands patience, and a documented regime (fold 3) where the edge simply disappeared. Investors should expect long flat stretches, not the smooth 81% the top line implies.