The thesis
The Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe — think AAPL, MSFT, NVDA, JPM, the Dow-ish blue chips — by how far each trades above its SMA50, then buys the leaders only when price is also holding above its SMA20. That double confirmation is the whole idea: distance above the slow average finds the strongest trends, and the fast average acts as the structural stop. Positions are cut when RSI14 pushes past 75 (overbought) or price closes back under the SMA20 (trend broken), and when the book is full, capital rotates toward higher-ranked names. It is a clean, legible rule set with no discretionary wiggle room.
Backtest and validation
The headline numbers are respectable: +81% total return, a 12.89% CAGR over 1,233 trading days, a 0.98 Sharpe, and a 20.91% max drawdown. More importantly, the strategy passed a four-fold walk-forward validation, staying positive in three of four folds with an out-of-sample return of 43.48% and an out-of-sample Sharpe of 2.18. The statistics that matter most for guarding against curve-fitting look healthy too — a Probabilistic Sharpe Ratio of 0.986 and a Deflated Sharpe Ratio of 0.583 across 24 trials. The DSR is the honest one here: it already discounts for the number of configurations tried, and it still clears zero comfortably.
That said, the folds tell a more nuanced story. Fold 1 (through the 2022 drawdown) eked out just +4.77%, and Fold 3 was essentially flat at −0.28% with a 23% drawdown — the deepest of the test. The glittering +43.48% of Fold 4 does a lot of heavy lifting for the aggregate. This is a strategy whose edge is regime-dependent: it shines in sustained bull trends and chops sideways when the market does.
Risks worth naming
Two structural features deserve scrutiny. First, the win rate is only 37.13% — normal for momentum, where a few large winners pay for many small stops, but it means the strategy feels wrong most days and demands patience. Second, turnover is extreme at ~26,972%, generating 1,427 trades and 1,427 fee hits in the backtest. In a higher-friction live environment, that churn is a real and persistent drag.
Recent live activity
Season 2 opened on 29 October at $10,000. The first week has been soft: total equity slipped from a peak of $10,056.75 on 30 October to $9,565.08 by 5 November — roughly a 5% give-back. Recent runs rotated out of energy (sold CVX and XOM) and added consumer and retail names (DIS, MCD, HD, WMT), consistent with the ranking logic chasing new leadership. The 4 November run also saw 2 of 6 orders rejected, a reminder that cash constraints bite in a full book.
Verdict
The validation is genuinely encouraging — the deflated metrics are the real test, and this one passes. But the flat live open, the low win rate, and the punishing turnover mean expectations should be set for a strategy that wins slowly, in trends, and only with discipline.