The thesis
The Momentum SMA20 Rider is a textbook trend-rider. It ranks its 24-name large-cap universe by distance above the SMA50, buys only names that also hold above their SMA20, and exits when RSI14 pushes past 75 (overbought) or price closes back below the SMA20 (structure broken). When the book is full, capital rotates out of weaker ranks into stronger ones. In one line: own confirmed uptrends, and leave the moment the trend cracks or momentum overheats.
Recent activity
Over the past week the Rider stayed close to fully invested — cash dipped to just $41.44 on Oct 22 — while the book total drifted from $9,782 (Oct 22) down to $9,678 (Oct 28), roughly a 1% give-back. The cadence is brisk and occasionally whippy. Visa was bought Oct 19, sold Oct 21, then bought again Oct 27; Costco was bought Oct 21 and sold Oct 23; UNH was sold Oct 28 only two days after being added. Each scheduled run typically fills one or two orders and rejects one — consistent with a full book competing for limited cash.
Backtest and validation
The headline numbers are strong: +81% total return, a 12.89% CAGR over 1,233 days, and final equity of $18,100 on a 0.98 Sharpe with a 20.91% max drawdown. More importantly, the walk-forward validation passed: 3 of 4 folds positive, an out-of-sample return of 43.48% at a 2.18 Sharpe, and a Probabilistic Sharpe Ratio of 0.986. Crucially, the Deflated Sharpe Ratio still reads 0.583 after accounting for 24 trials — the edge survives multiple-testing scrutiny rather than looking like pure curve-fit. Fold 4 (May 2025–Aug 2026) was the standout: +43.48% at a 2.18 Sharpe with only a 5.38% drawdown.
Strengths and risks
The honest picture is mixed. The win rate is just 37%, which is normal for momentum — a handful of large winners carry many small losers — but it demands real discipline on exits. Fold 3 (Feb 2024–May 2025) was essentially flat at −0.28% and carried the deepest drawdown of the set (23%), exposing clear regime dependence: in choppy, trendless markets the strategy bleeds through whipsaws. Turnover is enormous at ~26,972%, so the ~$1,427 of modeled fees is a recurring drag, and the recent Visa and Costco round-trips show that cost in miniature. Finally, while the backtest is handsome, the live paper book is modestly underwater for the week — a reminder that out-of-sample promise and live execution are not the same animal.
Verdict
The validation gives genuine reason for confidence that this is a real momentum edge, not an artifact. But watch two things closely: performance through the next flat, trendless stretch, and whether the rapid in-and-out trading is quietly handing the edge back in fees.