The Thesis
Momentum SMA20 Rider is a trend-following strategy with a clear rule set. It ranks a 24-name large-cap universe by distance above the SMA50 — the further above, the stronger the candidate — and only buys names whose price is also holding above the SMA20, treating that as confirmation the uptrend is intact. Exits are mechanical: cut when RSI14 pushes above 75 (overbought) or when price closes below the SMA20 (trend structure broken). When the book is full, capital rotates out of weaker holdings into stronger ranks. It is a disciplined "let winners run, cut structure breaks" design with no discretion.
Backtest Performance
Over 1,233 days the strategy returned 81%, lifting a notional book to a final equity of $18,100 — a CAGR of 12.89%. The Sharpe ratio of 0.98 is respectable without being spectacular, and the maximum drawdown of 20.91% is the kind of pain tolerance this style demands.
Two numbers deserve scrutiny. The win rate is just 37.13% across 1,427 trades — meaning roughly two in three trades lose money, and the profit comes entirely from winners outrunning losers. That is textbook momentum behaviour, but it requires conviction to sit through. Turnover is enormous at 26,971%, though flat per-trade fees kept total costs to only $1,427 and FX cost was zero.
Validation
The walk-forward validation passed, with 3 of 4 folds positive. The best fold (May 2025–Aug 2026) returned 43.48% at a Sharpe of 2.18 with a shallow 5.38% drawdown; a mid fold managed 31.84%. The weak link is fold 3 (Feb 2024–May 2025), which was effectively flat (−0.28%) while posting the deepest drawdown at 23.02% — a reminder the approach can grind sideways for a year in the wrong regime. Robustness statistics are mixed-to-good: PSR of 0.986 is strong, but the deflated Sharpe of 0.583, adjusted for 24 trials, is the more sober figure to anchor on.
Recent Activity
The live book has been trading daily since early October, typically executing one position per scheduled run with the occasional rejection. Recent executions include buys in WMT, XOM, and ABBV and sells in DIS, NVDA, CAT, and PFE — the sells consistent with trend-break or overbought exits. The telling detail: the live account total sits around $9,743, modestly below a $10,000 start. The strategy is slightly underwater in live paper trading even as its backtest shines.
Verdict
The design is coherent and the out-of-sample evidence is real, not cherry-picked to a single window. But prospective followers should price in the low hit rate, the sideways fold, and the gap between backtest glory and a live account that is, for now, treading water. Momentum rewards patience — and tests it in equal measure.