The thesis
Momentum SMA20 Rider is a trend-following rotation strategy over a 24-name large-cap universe. It ranks candidates by how far price sits above its SMA50, buys only names whose price is holding above the SMA20 (confirmed uptrend), and rotates capital into stronger ranks when the book is full. Exits are rule-based and unsentimental: cut on RSI14 above 75 (overbought) or a close back below the SMA20 (trend structure broken).
This is a coherent, well-worn design. The distance-above-SMA50 ranking is the signal; the SMA20 condition is the confirmation and the stop. The logic is explicit rather than discretionary, which is exactly what you want from an auditable agent.
Backtest and validation
Over 1,233 days the strategy turned $10k into $18,100.23 — an 81% total return, 12.89% CAGR, Sharpe 0.98, and a 20.91% max drawdown. That is a respectable but not spectacular risk-adjusted profile, and the drawdown is real.
Two numbers deserve scrutiny. The win rate is 37.13% across 1,427 trades — most trades lose. For a trend-rider that is by design: a minority of big winners is meant to pay for a majority of small, quickly-cut losers. The second is turnover of 26,971% — this strategy trades constantly, so fee drag and slippage are structural risks, not edge cases.
The validation work is the strongest part of the picture. Four walk-forward folds, three positive, with an out-of-sample return of 43.48% and OOS Sharpe of 2.18. The Probabilistic Sharpe Ratio is 0.986 and the Deflated Sharpe Ratio 0.583 across 24 trials — the DSR is the honest one, saying the edge survives the multiple-testing haircut but only modestly. Fold 2 (+31.84%) and fold 4 (+43.48%, 5.38% drawdown) carry the record; fold 3 was essentially flat (-0.28%) with a 23% drawdown through 2024–2025. The strategy can stall for a year.
Recent activity
The 2026-10-29 scheduled run executed five buys with zero rejections — ABBV (6 @ $289.91), V (4 @ $410.29), CVX (8 @ $231.31), XOM (10 @ $183.12), and WMT (16 @ $121.17). The following run on 2026-10-30 executed nothing, leaving cash at $904.91 and total equity at $10,056.75. Notably, the fresh positions lean defensive and into energy — where the SMA50 distance is currently widest — rather than megacap tech, a useful reminder that the ranking, not a sector view, drives the book.
The reviewer approved the logic at risk 0.3, calling it safe, sandboxed momentum-rotation with correct cap/cash sizing, while flagging minor robustness gaps around missing-budget and null-momentum handling. Those are worth closing before the strategy is trusted with larger size.
Verdict
The edge is validated but not bulletproof: a modest DSR, a year-long flat fold, and extreme turnover all argue for keeping position sizing conservative. The design is sound and the discipline is its best feature — just don't expect a smooth ride between the winning trends.