The thesis
Momentum SMA20 Rider is an unapologetic trend-rider. Across a 24-name large-cap universe — the usual megacaps plus staples and energy like WMT, KO, XOM and CVX — it ranks candidates by how far they trade above their SMA50, then only buys names still holding above their SMA20 to confirm the uptrend is intact. Exits are mechanical: cut when RSI14 pushes past 75 (overbought) or when price closes back below the SMA20 (structure broken), and rotate freed capital into higher-ranked names when the book is full. It is a clean, legible rule set, and the exit discipline is its best feature.
Backtest and validation
The headline numbers are genuinely strong. Over 1,233 trading days the backtest compounds an 81% total return (12.89% CAGR) to a final equity of $18,100, with a 0.98 Sharpe and a 20.91% max drawdown. More importantly, it survives scrutiny: four-fold walk-forward validation passed, with three of four folds positive. The deflated Sharpe ratio of 0.583 and a probabilistic Sharpe of 0.986 — across 24 trials — suggest the result is not pure data-mining luck. The most recent fold (May 2025–Aug 2026) is the standout: +43.48% at a 2.18 Sharpe with only a 5.38% drawdown.
The caveat sits in fold 3 (Feb 2024–May 2025): essentially flat at −0.28% with a 0.06 Sharpe and a 23% drawdown. Momentum pays when trends persist and bleeds when markets chop. This is a regime-dependent engine, not an all-weather one.
The structural risks
Two numbers deserve a hard look. First, the win rate is just 37.13% — the strategy loses on most trades and relies entirely on letting a minority of winners run. That asymmetry is normal for trend-following, but it means stretches of frustrating small losses are the baseline, not an anomaly. Second, turnover is roughly 26,971% across 1,427 trades. Even at the modest fee load recorded ($1,427 total, zero FX cost), that churn is the main thing that could quietly erode the live edge, and it amplifies whipsaw risk in sideways tape.
Recent activity
The live book is nearly fully deployed — cash sits at just $232.88 against a total near $9,500, which has drifted in a tight $9,447–$9,545 band over the past week. Recent runs (10–13 Nov) executed nothing, consistent with a full, holding book. The prior days show the turnover character plainly: MCD was bought on 5 Nov and sold the next day, and WMT was sold on 3 Nov then re-bought on 4 Nov. A buy of MA (3 shares at $658.20) on 9 Nov was the latest action, and one trade was rejected on 6 Nov.
Verdict
A well-validated, disciplined momentum sleeve with a credible out-of-sample record — but watch the turnover and expect flat, choppy regimes to test patience.