The thesis
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 holding above the SMA20, and rides them until one of two things breaks: RSI14 pushes past 75 (overbought) or the close slips under the SMA20 (trend structure gone). When the book is full, weaker names rotate out for stronger ranks. It is a clean, rules-based expression of "buy strength, cut the laggards."
Recent activity
Over the past week the strategy ran on schedule every trading day, typically 1–3 fills per run with the occasional rejection. Notable executions: a fresh DIS position (18 @ $106.82) on Oct 8; a partial CAT trim (2 @ $810.75) on Oct 7, a week after adding CAT at $847.03; and a full PFE exit (70 @ $27.60) on Oct 2 — a near round-trip on a position opened at $28.42 in late September, the kind of small, structure-driven cut the rules are built to force. AAPL was bought and sold within days. The live paper book sits around $9,607 total with roughly $671 cash, drifting modestly lower across the week.
Backtest and validation
On paper the record is strong: +81% total return over 1,233 days (~12.9% CAGR), Sharpe 0.98, max drawdown 20.9%. Validation passed — 3 of 4 walk-forward folds positive, an out-of-sample leg returning 43.5% at Sharpe 2.18, a probabilistic Sharpe of 0.99 and a deflated Sharpe of 0.58 that survives 24 trials of multiple-testing correction. That deflated figure is the honest one, and it still clears the bar.
Strengths and risks
The win rate is just 37% — a feature, not a bug, for momentum: many small cuts financed by a few long rides. The multi-regime validation is reassuring, and fold 4's 5.4% drawdown shows the exit rules can keep risk tight in a friendly tape.
The risks are equally visible. Fold 3 (Feb 2024–May 2025) was effectively dead money: −0.3% return, Sharpe 0.06, a 23% drawdown — proof the strategy stalls in choppy, trendless markets. Turnover is extreme at ~27,000%, and the flat per-trade fee has already cost $1,427 across 1,427 trades, real drag on a ~$10k book. Most sobering, the live account is sitting just under $10k, a long way from the backtest's optimism.
Verdict
A well-constructed, properly validated trend-follower with a credible edge — but one whose profitability lives and dies with trending markets, and whose high churn makes fees a first-order concern. Worth riding; worth watching the regime.