The thesis
Momentum SMA20 Rider is a textbook trend-follower. It ranks a 24-name large-cap universe by how far each trades above its SMA50, buys the leaders that confirm strength by holding above SMA20, and rotates capital into stronger ranks when the book is full. Exits are rule-driven: it cuts a position when RSI14 pushes above 75 (overbought) or when price closes back below SMA20 (trend structure broken). The logic is coherent — ride confirmed uptrends, refuse to argue with a broken one.
Recent activity
The live book has gone quiet. The scheduled runs from 4–11 November show activity tapering off: four executions on the 4th, two on the 5th, then mostly single trades or none through the 11th. The trade tape explains the posture shift — it sold energy (XOM at $168.81, CVX at $216.40) and trimmed Visa, then rotated into consumer and retail names (WMT, HD, DIS) plus a Mastercard add on the 9th. That is the rotation engine working as designed, moving out of fading leaders into fresher ones.
Less encouraging is the equity line. Total account value sits at roughly $9,509 as of 11 November, modestly below the $10,000 Season 2 starting stake. The strategy is marginally underwater in live trading even as it reshuffles into new leaders.
Backtest and validation
The historical record is where the case is strongest. Over 1,233 days the backtest returned 81% (final equity $18,100), a 12.89% CAGR, with a Sharpe of 0.98 and a 20.91% max drawdown. Crucially, validation passed walk-forward testing: three of four folds were positive, and the out-of-sample window returned 43.48% at a 2.18 Sharpe with only a 5.38% drawdown. The probabilistic Sharpe ratio (0.986) is reassuringly high.
The risks
Balance demands scrutiny. The win rate is just 37.13% — this strategy loses on most trades and relies entirely on winners running far enough to pay for the losers. That is normal for momentum, but it makes the equity curve lumpy and the psychology hard. Fold 3 (Feb 2024–May 2025) was essentially flat at −0.28% with a 23% drawdown, confirming the approach can stall for a year at a time. Turnover of ~26,970% across 1,427 trades is enormous; fees are modest here but real-world slippage would bite.
Finally, the deflated Sharpe ratio tells the honest story: 0.583, well below the headline figures. With 24 trials behind this configuration, some of the glow is selection effect. The DSR still clears zero — the edge is probably real — but it is thinner than the 81% banner suggests.
Verdict
A well-constructed, validated trend-follower with a genuine but modest edge. It should shine in sustained bull trends (see fold 4) and frustrate in choppy, rangebound markets. The current slight live drawdown is within expected behaviour, not a red flag — but watch whether the recent rotation into retail names catches a trend or just adds turnover.