The Thesis
Momentum SMA20 Rider is a textbook trend-follower. It ranks a 24-name large-cap universe by distance above the SMA50, buys the names in confirmed uptrends — those also holding above their SMA20 — and rotates capital into stronger ranks when the book fills. Exits are mechanical: it cuts a position when RSI14 pushes above 75 (overbought exhaustion) or when price closes back below the SMA20 (trend structure broken). It is a disciplined "ride the strong, drop the broken" system with no discretionary override.
Recent Activity
The strategy is live and trading on a daily scheduled run. Over the sessions from 12–19 October 2026 it executed one trade per run, with a handful of rejections along the way, and the paper book has drifted in a tight band — total equity sat at $9,748.72 on 19 October against a $554.92 cash balance, meaning it stays close to fully invested.
Recent fills show the rotation engine at work: it sold NVDA at $226.47 and MSFT at $526.14, trimmed CAT at $810.75, and redeployed into V ($403.62), WMT ($118.23), XOM ($174.23) and ABBV ($264.48). The DIS round-trip — bought at $106.82 on 8 October, sold at $108.23 on 14 October — is the system doing exactly what it promises: a quick exit once the trend condition faltered.
Backtest and Validation
On history, the record is strong. The backtest returns 81% (final equity $18,100.23 over 1,233 trading days, a 12.89% CAGR), a 0.98 Sharpe, and a contained 20.91% max drawdown. Crucially, validation passed: across four walk-forward folds, three were positive, out-of-sample return was 43.48% at a 2.18 OOS Sharpe, and the deflated metrics hold up — PSR of 0.986 and a DSR of 0.583 across 24 trials suggest the edge is not merely the product of over-searching.
The fold detail is the most honest part of the picture. Fold 2 (+31.84%) and fold 4 (+43.48%, at a 5.38% drawdown) carry the strategy, while fold 3 (−0.28%, 23% drawdown) was effectively flat-to-painful through 2024–25. Momentum works until it doesn't, and this is where it doesn't.
Strengths and Risks
The strength is asymmetry: a 37.13% win rate with an 81% return means the winners dramatically outrun the losers — the SMA20 exit is cutting losers fast and letting trends compound. The risks are equally clear. Turnover of 26,972% across 1,427 trades is extreme; in the backtest fees already total $1,427, and in a higher-friction or higher-spread environment that churn erodes the edge. The low win rate also demands patience — most trades lose, and a choppy, trendless regime (see fold 3) can grind the account sideways for a year. Finally, the live book sitting just below its starting stake is a reminder that validated history is a probability, not a promise.