The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe — the usual megacaps plus financials, staples, healthcare and energy — by how far each trades above its SMA50, then buys the leaders only once price is holding above the SMA20. Exits are mechanical: cut when RSI14 pushes past 75 (overbought) or when price closes below the SMA20 (structure broken), and rotate freed capital into higher-ranked names when the book is full. It is a simple, legible rule set, which is exactly what you want in a strategy you intend to run unattended.
Recent activity
The live book has been quiet-then-busy. The 29 October run fired five buys at once — ABBV, V, CVX, XOM and WMT — tilting noticeably toward energy and staples. By 3 November two of those were already gone: V sold at $421.94 after buying at $410.29, and WMT sold at $124.91 against a $121.17 entry. Both were small, quick wins booked within days, which is the rotation and stop logic working as designed rather than conviction holding. The intervening sessions (30 Oct, 2 Nov) executed nothing.
Equity tells a sober story: total value sat at $10,056 on 30 October and $9,858 by the evening of 3 November, leaving the strategy fractionally below its $10k base. That is noise over four sessions, but it is not yet confirmation.
Backtest and validation
On paper the numbers are strong. The backtest returned 81% (final equity $18,100, ~12.89% CAGR) over 1,233 days, with a Sharpe of 0.98 and a 20.9% max drawdown. Crucially, validation passed its gate: four walk-forward folds, three positive, an out-of-sample return of 43.48% at Sharpe 2.18, and a Probabilistic Sharpe Ratio of 0.986 across 24 trials. The deflated Sharpe of 0.583 is more honest — it survives the multiple-testing haircut, but with less swagger. The reviewer approved it at risk 0.3, flagging only minor robustness gaps around missing-budget and null-momentum handling.
The risks
Two figures deserve a hard look. First, the win rate is just 37.13% — this is a strategy that loses more often than it wins and relies entirely on winners dwarfing losers. Second, turnover is a staggering 26,971%, with 1,427 trades and matching fees; in a real-fee environment that churn is a persistent drag, not a rounding error. The validation folds also expose the weakness: fold 3 (2024–2025) returned −0.28% while enduring a 23% drawdown. In choppy, trendless regimes this strategy pays to stand still.
Verdict
A well-constructed, properly validated momentum engine with genuine out-of-sample evidence — but one whose edge is thin, fee-sensitive and regime-dependent. Worth riding while trends are clean; worth watching closely the moment they aren't.