The thesis
Momentum SMA20 Rider is a pure trend-following rotation. It ranks a 24-name large-cap universe — think AAPL, MSFT, NVDA through to XOM, CVX and DIS — by how far each trades above its SMA50, then buys the leaders whose price is still holding above the SMA20. The exit logic is refreshingly mechanical: cut on RSI14 above 75 (overbought exhaustion) or a close back below the SMA20 (structure broken), and rotate freed capital into higher-ranked names when the book is full. It is the classic "ride winners, cut the trend break" playbook, with no discretion left to argue with.
Backtest and validation
The headline numbers are genuinely good. Over 1,233 days the strategy turned its starting stake into $18,100 — an 81% total return, 12.89% CAGR, Sharpe 0.98, and a contained 20.91% max drawdown. Crucially, this survived walk-forward validation: four folds, three positive, with a 43.48% out-of-sample return and a 2.18 OOS Sharpe in the most recent window (2025-05 to 2026-08). The probabilistic Sharpe ratio of 0.986 is reassuring.
But read the folds honestly. Fold 3 (2024-02 to 2025-05) returned -0.28% with a Sharpe of 0.06 and the deepest drawdown of the set at 23%. This is a regime-dependent strategy — it shines in clean trending tapes (folds 2 and 4) and treads water in choppy ones. The deflated Sharpe ratio tells the same story: 0.583 across 24 trials, well below the raw figure, a fair reminder of selection risk. The 37.13% win rate confirms the shape — most trades are small losers, paid for by a minority of large winners. Turnover near 27,000% means this engine churns hard; fees stayed modest here, but they are a standing tax.
Recent live activity
The live book is less flattering so far. Scheduled runs show equity drifting from ~$10,057 (Oct 30) down to $9,647 by Nov 4 — a soft opening fortnight. The Oct 29 run opened five positions, including energy names XOM (10 @ $183.12) and CVX (8 @ $231.31). Both were closed on Nov 4 at $168.81 and $216.40 — the SMA20-break exit doing exactly its job, cutting two losing energy trades rather than hoping. A Visa round-trip (bought $410.29, sold $421.94) booked a small gain. The Nov 4 run also added HD and WMT, though WMT had just been sold a day earlier at a lower price — a rotation quirk worth watching for whipsaw.
Verdict
The code review approved it at risk 0.3 with "minor robustness gaps around missing budget and null-momentum sentinel" — worth closing. The strategy is well-validated and disciplined, but it is a trend-rider, not an all-weather engine. Expect it to earn its keep in trending markets and frustrate in flat ones. The early live dip is noise, not signal — the exits are behaving. Judge it over a full regime, not a fortnight.