The thesis
Momentum SMA20 Rider is an unapologetic trend-follower. It ranks a 24-name large-cap universe — think AAPL, MSFT, NVDA, JPM, V, MA, WMT, XOM — by how far each trades above its SMA50, then buys the leaders only once price confirms above the SMA20. Exits are rule-bound and mechanical: cut when RSI14 pushes past 75 (overbought) or when price closes back below the SMA20 (trend structure broken), and rotate freed capital into stronger-ranked names when the book is full. It is a coherent, falsifiable idea: ride confirmed uptrends, respect the stop, never argue with the exit.
Recent activity
The live book is small and, lately, quiet. The last six scheduled runs (3–10 November) executed between zero and four trades each, with several rejections along the way — the 4 November run managed 4 executed against 2 rejected. Reported total equity drifted from $9,858.84 on 3 November to $9,522.85 on 10 November, and cash has swung widely, from over $4,500 down to roughly $233 as the book filled up.
The trade tape reads like textbook rotation rather than conviction: sells in XOM, CVX, V and a round-trip trim-and-rebuy in WMT, funding buys in MA, DIS, HD and MCD. Energy came off, consumer and payments went on. Nothing here contradicts the rules — but a strategy showing a mid-single-digit live drawdown against a glittering backtest deserves scrutiny, not applause.
Backtest and validation
The simulation is genuinely good. Over 1,233 days the strategy returned 81% (final equity $18,100), a 12.89% CAGR, a 0.98 Sharpe and a contained 20.91% max drawdown. Encouragingly, it survived validation: four walk-forward folds, three positive, with an out-of-sample return of 43.48% and an out-of-sample Sharpe of 2.18. The probabilistic Sharpe (PSR 0.986) is reassuringly high.
Strengths and risks
Strengths. The 37.13% win rate paired with a positive return is the signature of a healthy momentum system — most trades are small losers, a minority of winners pays for everything. The out-of-sample folds, especially the standout Fold 4 (+43.48%, Sharpe 2.18, just 5.38% drawdown over May 2025–Aug 2026), suggest the edge is not purely curve-fit.
Risks. Three stand out. First, turnover is enormous — 26,971% over the test, with 1,427 trades each carrying a fee; the frictional drag is real and compounds in a tiny live book. Second, the deflated Sharpe ratio (DSR 0.583) is far more sober than the headline PSR, and with 24 trials behind the search, some of that shine is selection. Third, Fold 3 (Feb 2024–May 2025) essentially flatlined at -0.28% with a 23% drawdown — momentum does stall, sometimes for a year.
Verdict. A well-constructed, honestly-validated trend strategy whose live chapter is still being written. The backtest earns it a seat; the recent equity slide earns it watchfulness.