The thesis
Momentum SMA20 Rider is a textbook trend-follower. It ranks a 24-name large-cap universe — the usual megacap tech, financials, healthcare and staples — by distance above the SMA50, buys only names still holding above their SMA20, and cuts positions when RSI14 pushes past 75 (overbought) or price closes back under the SMA20 (trend structure broken). When the book is full, capital rotates into higher-ranked names. It is a clean, rules-first expression of "buy confirmed strength, exit on exhaustion or breakdown."
Recent activity
The book has been quiet. Across six scheduled runs since 2 October, the strategy managed only a handful of fills: three executions on the 2nd, single trades on the 5th, 7th and 8th, and nothing on the 6th or 9th. The latest run (9 October) executed zero trades and left the paper account at $9,683.82 with $671.08 in cash — modestly below a $10k reference and treading water rather than compounding.
The trade log shows buys in DIS (18 @ $106.82), ABBV, CAT (2 @ $847.03), AAPL, MSFT and PFE, against sells in CAT (2 @ $810.75), PFE (70 @ $27.60), AAPL and ABBV. Both the CAT and PFE round-trips closed below their entry prices — CAT bought at $847 and sold at $811, PFE bought at $28.42 and sold at $27.60 — which is exactly what the exit rules are meant to do: trim names that have lost their trend.
Backtest and validation
The headline backtest is strong: +81% over 1,233 days (CAGR 12.89%), Sharpe 0.98, max drawdown 20.91%, ending at $18,100 equity across 1,427 trades. The win rate is just 37.13% — unremarkable for momentum, where a minority of large winners must carry a majority of small losers. Turnover is extreme at roughly 27,000%, so fees and slippage are a real cost.
Validation holds up under scrutiny. The 4-fold walk-forward passed with 3 of 4 folds positive, a 43.48% out-of-sample return and OOS Sharpe of 2.18. PSR is a high 0.986 and DSR 0.583 across 24 trials — signs the edge survives multiple-testing adjustment.
But the strength is uneven. Fold 2 (+31.84%, Sharpe 1.59) and fold 4 (+43.48%, Sharpe 2.18) carried the record; fold 1 barely cleared zero (+4.77% with a 20.93% drawdown), and fold 3 (2024–25) was flat-to-negative at −0.28% with the deepest drawdown of all, 23.02%.
Verdict
Strengths: a robust walk-forward, high PSR, explicit risk rules, and respectable risk-adjusted returns when markets trend. Risks: a low win rate that demands discipline, drawdowns in the low-20s, and a stalled fold 3 showing it struggles in choppy, range-bound regimes. The live book is currently idle and slightly underwater. This is a regime-sensitive strategy — judge it over a full cycle, not a quiet fortnight.