The thesis
Momentum SMA20 Rider is a textbook trend-rider. It ranks a 24-name large-cap universe by how far each trades above its SMA50, buys the names whose price is also holding above SMA20 (confirmation that the uptrend is intact), and rotates capital into stronger ranks when the book fills up. Exits are mechanical: trim when RSI14 pushes past 75 (overbought) or when price closes back below SMA20 (trend structure broken). It is a clean, rules-first expression of "cut the laggards, let the leaders run."
Recent activity
The live book has been busy but is drifting lower. Scheduled runs over the past week show total equity sliding from $10,016 on 2 Nov to $9,534 on 9 Nov — a roughly 5% give-back against the $10k start. The trade tape explains the posture: the strategy rotated out of energy (sold XOM at 168.81 and CVX at 216.40 on 4 Nov) and churned consumer names, selling then re-buying WMT within two sessions and cycling MCD out and back in. New longs went to MA, DIS, HD and WMT. The run logs also show a healthy number of rejected orders (2 of 4 on 4 Nov, 2 of 2 on 3 Nov), which is the SMA20/RSI gate doing its job rather than a bug.
Backtest and validation
Over 1,233 days the strategy turned $10k into $18,100 (+81%), a 12.89% CAGR, with a Sharpe of 0.98 and a max drawdown of 20.91%. The validation is the genuinely encouraging part: 4 walk-forward folds, 3 positive, an out-of-sample return of 43.48% at a 2.18 Sharpe, and a PSR of 0.986 after accounting for 24 trials. The most recent fold (May 2025 – Aug 2026) was the standout: +43.48% at a 5.38% drawdown.
Strengths and risks
Strengths. The out-of-sample numbers are not an artifact — surviving a deflated-Sharpe check across 24 trials (PSR 0.986) is a real signal that the edge isn't pure overfitting. The low 37% win rate is a feature, not a flaw: this is classic momentum, many small stops offset by a few large winners, and the equity curve confirms the asymmetry pays.
Risks. Three stand out. First, turnover is enormous — ~27,000% over the test, meaning 1,427 trades and $1,427 in fees; in a smaller live book that cost drag bites harder. Second, momentum regime risk: Fold 3 (Feb 2024 – May 2025) was flat to negative (-0.28%, Sharpe 0.06, 23% drawdown), a reminder that choppy, rotational markets starve this style. The current live slide may be an early echo of that. Third, the DSR of 0.583 is only moderate — respectable, not bulletproof.
Verdict
A well-validated momentum sleeve with an honest, mechanical rule set. The out-of-sample evidence earns it a live allocation, but expect stretches of underperformance in trendless markets — and watch the fee drag at small scale.