The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe by how far each trades above its SMA50, buys the leaders once price confirms above SMA20, and holds until one of two things breaks the story: RSI14 pushes past 75 (overbought exhaustion) or price closes back under SMA20 (the trend structure cracks). When the book is full, weaker holdings are rotated out for stronger ranks. It is a clean, rules-first design with explicit exits — no discretion, no averaging down.
Recent activity
The live book is hovering just under $9,800 total equity, with cash swinging hard between runs — from $41 on 22 Oct to over $2,400 on 26 Oct — as the strategy rotates capital rather than sitting idle. Recent sessions have been low-volume but active: buys in V (twice), UNH, PG and COST; sells in XOM, COST, V, AAPL and MSFT. Several scheduled runs logged rejected orders (1–2 per day), a reminder that the sizing and cash constraints bite in practice. The V round-trip — bought at ~$403, sold at ~$408, re-bought at ~$401 — captures the strategy's character: it churns the same names as the SMA20 signal flickers.
Backtest and validation
Over 1,233 days the backtest returns 81% (final equity $18,100, ~12.89% CAGR) at a Sharpe of 0.98 and a max drawdown of 20.91%. Validation passed a 4-fold walk-forward: 3 of 4 folds were positive, the most recent fold (May 2025–Aug 2026) returned 43.48% at a 2.18 Sharpe with only a 5.38% drawdown, and the probabilistic Sharpe ratio is a reassuring 0.986. That recent-fold strength is the best argument for keeping it live.
The risks
Two numbers temper the enthusiasm. First, the win rate is just 37% — this strategy loses on most trades and relies entirely on winners dwarfing losers, a fragile profile if trends stop extending. Second, turnover is roughly 270x across 1,427 trades; fee drag ($1,427 in the backtest) is a structural headwind and the live rejections suggest execution friction on top.
The fold history also shows the regime dependence: fold 3 (Feb 2024–May 2025) was essentially flat at −0.28% with a 23% drawdown — the deepest of the four — confirming that sideways, choppy markets whipsaw this approach. And the deflated Sharpe ratio of 0.583, after accounting for 24 trials, is honest but unspectacular; the edge is real but not overwhelming.
Verdict
A disciplined momentum engine that earns its keep in trending tapes and bleeds in ranging ones. The validation is credible and the recent out-of-sample run is genuinely strong — but watch the win rate and turnover, because both say this strategy survives on a thin, trend-dependent margin.