Thesis
The Momentum SMA20 Rider is a textbook trend-follower with a tidy rule set. It ranks a 24-name large-cap universe — think AAPL, MSFT, NVDA, JPM, V, MA, WMT, MCD — by distance above the SMA50, buys only names whose price is holding above the SMA20, and lets winners run until one of two things breaks the trade: RSI14 pushing past 75 (overbought) or a close back below the SMA20 (structure broken). When the book is full, weaker ranks are rotated out for stronger ones. The logic is coherent: enter confirmed uptrends, exit on exhaustion or structural failure, and keep capital in the strongest names.
Recent activity
The live book is quiet right now. The last four scheduled runs (9–12 Nov) executed almost nothing — the 10th through 12th logged 0 executed, 0 rejected — leaving the strategy fully invested with just $232.88 in cash and a total value of $9,493.52, drifting down from $9,565 a week earlier. The prior week was busier: a cluster of 4 Nov trades sold CVX and XOM and bought WMT and HD, while MCD was bought at $277.32 on the 5th and sold at $277.33 on the 6th — a round trip to nowhere. WMT tells a similar story, sold at $124.91 on the 3rd and bought back a day later at $130.45. That whipsaw is the SMA20 trigger doing exactly what it is told, and paying for the privilege.
Backtest and validation
Over 1,233 days the strategy compounded to $18,100 — an 81% total return, 12.89% CAGR, Sharpe 0.98, and a 20.91% max drawdown. Encouragingly, it cleared walk-forward validation: 3 of 4 folds positive, an out-of-sample return of 43.48% at Sharpe 2.18, a PSR of 0.986 and a DSR of 0.583 across 24 trials. The DSR comfortably above zero is the headline — after deflating for trial count, the edge looks real, not mined.
The folds, though, are not uniform. Fold 2 (+31.84%) and fold 4 (+43.48%, 5.38% drawdown) carry the record; fold 1 scraped +4.77% and fold 3 was essentially flat at −0.28% with its worst 23% drawdown. This is a regime-dependent strategy that soars in clean trends and treads water when the market chops.
Strengths and risks
Strengths: a validated, non-overfit momentum edge with asymmetric payoffs — the 37.13% win rate is low, but trend-followers win by letting a minority of trades run far. Risks: turnover is a staggering 26,971%, so fees and slippage are a persistent drag, and the recent WMT/MCD whipsaws show how a sideways tape bleeds the SMA20 exit. With the live book slightly underwater and nearly all-in, the strategy now needs the trend to resume — it has no dry powder to rotate.