The thesis
Momentum SMA20 Rider is a pure trend-follower working a 24-name large-cap universe (AAPL, MSFT, NVDA, JPM, UNH, XOM and the like). It ranks candidates by how far they trade above their SMA50, buys only those confirming the uptrend by holding above SMA20, and rotates capital into stronger ranks when the book is full. Exits are mechanical: cut when RSI14 pushes past 75 (overbought) or when price closes back below SMA20 (structure broken). It is live.
Recent activity
The strategy runs on a schedule and has been active most trading days this past week. Between 19 and 26 October it logged a steady cadence of one-to-two executions per run, with a rejection on several days — a reminder that cash constraints and entry filters do bite. Notable fills include a four-share UNH buy at $410.01 and an 11-share XOM sell at $184 on 26 October, a COST round-trip (bought at $996.43 on the 21st, two shares sold at $1004.03 on the 23rd), and a V position opened at $403.62 then trimmed at $407.77 within two days. The book currently sits at a total value near $9,750 with roughly $2,417 in cash — tight liquidity that explains the rejected orders.
Backtest and validation
Over 1,233 days the backtest returned 81% (final equity $18,100 from an implied $10k), a 12.89% CAGR, Sharpe 0.98, and a max drawdown of 20.91%. Walk-forward validation passed: across four folds, three were positive, out-of-sample return was 43.48% at an out-of-sample Sharpe of 2.18. The statistical hygiene looks reassuring — PSR of 0.986 and a Deflated Sharpe of 0.583 across 24 trials, meaning the edge largely survives the multiple-testing penalty.
Strengths
The standout is fold 4 (May 2025–Aug 2026): +43.48% at Sharpe 2.18 with only a 5.38% drawdown. That is exactly the regime momentum wants — a sustained, orderly uptrend. The low 37.13% win rate is not a flaw here; it is the signature of trend-following, where a minority of large winners pays for a majority of small, quickly-cut losers. The exit discipline (RSI and SMA20 break) is doing its job of keeping losers short.
Risks
Two caveats deserve attention. First, fold 3 (Feb 2024–May 2025) returned essentially nothing, −0.28%, while suffering the worst drawdown of the set at 23.02% — proof the strategy can chop sideways and bleed in whipsaw regimes with no trend to ride. Second, turnover is enormous at ~26,972% across 1,427 trades. At roughly $1 of fees per trade the drag is modest in this paper book, but at real-money scale or with wider spreads that churn is a genuine headwind. A headline 81% that leans heavily on one strong fold, paired with a flat one, argues for sizing this as a regime-dependent sleeve rather than an all-weather engine.