FEDFUNDS Low-Rate Gated Time-Series Momentum on Large-Cap US Stocks

Strategy Card

FEDFUNDS Low-Rate Gated Time-Series Momentum on Large-Cap US Stocks — strategy card

Spec ID: spec-macro-gated-time-series-momentum-us-stocks-1783195630 · Generated: 2026-09-25 10:12 UTC

Cluster: Momentum · Sub Cluster: Low-Rate Gated Stock Momentum

One-line description

Buys up to 20 liquid US stocks with strong absolute momentum when FEDFUNDS is at or below 1%. Exits positions when momentum weakens, price breaks its long-term trend, or the rate gate closes.

Why this trade exists

Price trends may persist as investors incorporate information gradually. Low policy rates may support risk-taking and equity trends; the FEDFUNDS gate tests whether restricting exposure to that environment improves this momentum strategy. Volatility-adjusted ranking favors stronger returns relative to recent price variability.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Universe	100 specified US stock symbols	Large-cap-oriented list; specification selects by capitalization.
Backtest window	2018-01-01..2023-01-01	Daily bars; rebalance at close.
Rate gate	FEDFUNDS <= 1.0	Latest observation with observation_date <= signal_date; skip new entries if unavailable.
Momentum score	0.4 × return_63d + 0.4 × return_126d + 0.2 × return_252d	Divide by 20-day realized volatility.
Trend and entry filters	Close > SMA_200; SMA_50 > SMA_200; positive 63- and 126-day returns	Minimum 252 days of price history.
Liquidity	20-day average dollar volume >= $25,000,000	Applied to eligible stocks.
Holdings and sizing	At most 20; equal weight; 10% position cap	Configured maximum leverage: 4.0; this does not establish that leverage was used.
Exits	Negative 63-day return, close < SMA_200, or FEDFUNDS > 1.0	Existing positions also rebalance by rank.
Commissions	$0.0040 per share, minimum $1.00 per order, capped at 1.00% of trade value	Charged per fill by the results module; all metrics are net of them
Slippage	0 bps — not applied	Not an omission — MOC (market-on-close) fills at the auction print the backtest uses
Costs not modelled	short borrow fees / rebate, margin financing on leverage, market impact, exchange/regulatory/clearing pass-through fees, taxes	Excluded deliberately, not unknown

Look-ahead audit

#	Concern	Status
1	Price lookbacks and moving averages use only information available by the signal close	✓ Required by the specified rolling rules; confirm in the full implementation.
2	FEDFUNDS point-in-time selection	⚠ Observation date is constrained to signal date or earlier; publication-time availability still requires verification.
3	Same-day signal and execution	✓ Signals and MOC execution are at the close, not at that day's open.
4	Historical universe membership	⚠ Verify capitalization selection and symbol eligibility as of each date to exclude survivorship bias.
5	Transaction costs	✓ commissions $0.0040/share (min $1.00/order); slippage 0 bps — not applied

Caveats / known limitations

• The supplied 100-symbol universe may reflect later membership or capitalization; point-in-time constituent selection is not established.
• FEDFUNDS filtering uses observation dates, which alone do not prove the values were published before each trading signal.
• The supplied results do not include the required low-rate, non-low-rate, and ungated variant comparisons, so the benefit of the rate gate cannot be isolated.
• The backtest records 10,661 trades, making turnover and implementation capacity material; market impact, exchange/regulatory/clearing pass-through fees, and taxes are excluded.
• The 2018–2023 window contains a limited set of interest-rate regimes; performance outside them is uncertain.

Results

The commission-net backtest returned 56.53%, with a 0.88 Sharpe ratio and −15.12% maximum drawdown. Win rate was 79.20% and profit factor was 1.75 across 10,661 trades. These aggregate figures do not establish that the FEDFUNDS gate outperformed an ungated momentum variant.

Run diagnostics

Recomputed here from the run's stored daily returns, because every annualized figure in the table above is derived from the LENGTH of that array (years = n / 252). Only total return and max drawdown do not depend on the row count, so when the recomputed and stored values differ by a common factor, those two are the numbers to trust.

Check	From the run's own returns	Note
Daily-return rows	1,259	1.00x the 1,260 trading days in 2018-01-01..2023-01-01
Distinct dates	1,259	one row per date
Date span	2018-01-02 .. 2022-12-30
Sum of daily returns	56.53%	matches the reported total return
Sharpe from these rows	0.88	stored 0.88
Volatility from these rows	12.81%	stored 12.81%
Max drawdown from these rows	-15.12%	stored -15.12%
Lowest the book stood	-0.20%	low-water mark, in units of starting capital
CAGR from these rows	9.38%	stored 9.38%

Backtest metrics snapshot

Metric	Value
Total Return	56.53%
Sharpe	0.88
Sortino	0.82
Calmar	0.62
Max Drawdown	-15.12%
Volatility	12.81%
Beta vs SPY	0.27
Win Rate	79.20%
Profit Factor	1.75
Total Trades	10661
Symbols	100 (AAPL, ABBV, ABT, ACN, ACON, ADBE, ADP, AMD, AMGN, AMT, +90 more)