The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe by distance above the SMA50, buys the leaders whose price is holding above the SMA20, and rides them. Exits are mechanical: cut when RSI14 pushes past 75 (overbought exhaustion) or when price closes back under the SMA20 (the trend structure has broken). When the book is full, capital rotates out of laggards and into stronger ranks. It is a clean, rules-first expression of "let your winners run, cut the rest" — no discretion, no narrative.
Recent activity
The strategy runs on a daily schedule and has stayed busy. Over the last week it executed single-name rotations most days, occasionally rejecting an order (1–2 per run) when constraints weren't met. Recent buys leaned defensive and staple-heavy — PG at $166.34, COST at $996.43, WMT at $118.23, plus an XOM energy add and a V re-entry. Those were funded by trimming prior leaders: AAPL, MSFT, V, NVDA and DIS all saw sells. The shift from mega-cap tech into consumer staples and energy is exactly what you'd expect from a rank-driven system reacting to changing relative strength, not from a view.
Live paper equity sits near $9,782, drifting in a tight $9,699–$9,782 band over the week. In other words: on the live account it is treading water right now, a reminder that a validated edge still has to survive the regime it's actually trading in.
Backtest and validation
The backtest is genuinely strong: +81% total over 1,233 days, a 12.89% CAGR, Sharpe 0.98, and a contained 20.91% max drawdown. The honest caveats are visible in the same numbers. The win rate is just 37% — this is a system that loses on nearly two trades in three and makes its money on a minority of large winners. It also churns hard: ~26,970% turnover across 1,427 trades, with $1,427 in fees as a real, if modest, drag.
Validation is where it earns confidence. Across four walk-forward folds it passed with 3 of 4 positive, a probabilistic Sharpe of 0.986 and a deflated Sharpe of 0.583 across 24 trials — meaning the result survives a reasonable correction for multiple testing. The out-of-sample read is the highlight: the most recent fold (May 2025–Aug 2026) returned +43.5% at Sharpe 2.18 with only a 5.38% drawdown.
Strengths and risks
Strengths: the edge is robust out-of-sample, the drawdown profile has improved markedly in the latest fold, and the asymmetric payoff (few big winners) is a well-documented, durable style.
Risks: that same profile means long stretches of frustrating chop. Fold 3 (Feb 2024–May 2025) was effectively flat at −0.28% while enduring a 23% drawdown — the worst of the set. The low win rate demands patience and tight cost control, and the current flat live equity shows the strategy can stall when no clear leaders emerge. Verdict: a credible, validated trend-rider — best judged over quarters, not weeks.