Strategy Card

Weekly-Daily Trend Alignment Momentum for US Large-Cap Stocks — strategy card

Spec ID: spec-multitimeframe-momentum-us-stocks-1783167355_v14 · Generated: 2026-07-15 10:17 UTC

Cluster: Momentum · Sub Cluster: Weekly-Daily Trend Alignment

One-line description

Long-only US large-cap trend-following strategy that buys stocks only when both daily and completed-week moving-average trends are bullish. Positions are ATR-sized, capped per name, and exited on trend deterioration, trailing stop, or maximum holding period.

Why this trade exists

The strategy attempts to harvest medium-term equity momentum while reducing whipsaw by requiring confirmation across two horizons. Daily trend filters capture nearer-term price persistence, while completed weekly trend filters aim to avoid trades that are only short-lived rebounds inside weaker higher-timeframe regimes.

The rationale is behavioral and structural: investor underreaction, slow institutional rebalancing, and benchmark-driven flows can cause large-cap winners to continue trending. ATR-based sizing and trailing stops are intended to normalize single-name risk and cut exposure when realized price action invalidates the trend.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Rule type	MULTI_TIMEFRAME_TREND_MOMENTUM	Long-only trend-following rule
Universe	Top 20 US stocks by capitalization	Includes AAPL, AMZN, BRK-A/BRK-B, GOOG/GOOGL, MSFT, NVDA, TSLA, etc.; supplied universe also contains very small/irregular tickers that require data-quality review
Backtest window	2018-01-01 to 2023-01-01 data period	Plan references 2018-01-01..2026-07-15, but available data period ends 2023-01-01
Bar / rebalance	Daily bars; rebalance at close	Signals use close/high/low/volume data
Daily trend	20-day SMA > 50-day SMA, close > 20-day SMA, 20-day SMA slope over 5 days > 0	All daily conditions required
Weekly trend	20-week SMA > 50-week SMA, weekly close > 20-week SMA, 20-week SMA slope over 4 weeks > 0	Uses completed Friday weeks only
Liquidity filter	20-day average dollar volume >= $10,000,000	Skip signal if required price or volume data is missing
Position sizing	ATR volatility-adjusted	ATR(14), target risk 1% per position, max 10% notional per name
Risk exits	3.0x ATR trailing stop; max holding 126 days	Also exit when daily or weekly trend is no longer bullish
Leverage	Max 4.0x	Portfolio-level leverage cap
Costs	$0.004/share commission, $1 minimum/order, max commission 1%; 0 bps slippage	Slippage assumption is optimistic for less liquid names
Missing data	Skip trade/signal if required data missing	No synthetic execution prices allowed

Look-ahead audit

#	Concern	Status
1	Weekly indicator look-ahead	Mitigated by using completed weeks only and last available daily close for Friday week close
2	Close-to-close signal/execution timing	Needs confirmation that orders generated from close-based indicators are executed after signal formation, not at the same close without delay
3	Universe survivorship bias	Open concern: top-20 capitalization universe appears fixed from supplied symbols rather than point-in-time membership
4	Corporate actions and adjusted prices	Needs verification that price series are split/dividend adjusted consistently across close/high/low and ATR inputs
5	Liquidity and delisting data	Needs review because supplied universe includes unusual tickers; missing or stale data could distort trade counts and exits
6	Transaction cost realism	Partially modeled via commissions, but slippage is set to 0 bps and may overstate results

Caveats / known limitations

• Long-only equity momentum is structurally exposed to broad market drawdowns and factor crowding.
• Results may be sensitive to the small 20-name universe and possible survivorship or constituent-selection bias.
• Same-close execution with close-derived signals can be optimistic unless the implementation explicitly delays execution.
• Zero-slippage assumption is aggressive, especially for lower-liquidity or irregular symbols in the supplied list.
• ATR sizing can increase exposure after quiet regimes and may understate gap risk.
• Weekly confirmation reduces false signals but can delay entries and exits during sharp reversals.
• Backtest plan extends beyond the stated data period, so reported results should be interpreted over the actual available data only.

Results

The backtest shows a positive but moderate risk-adjusted profile: total return was 79.69% with Sharpe 0.76, Sortino 0.85, and Calmar 0.48. Maximum drawdown was contained at -15.00% with 12.37% volatility, suggesting the trend filters and ATR sizing helped limit downside, though the 37.06% win rate indicates the strategy relies on larger winners relative to frequent smaller losses. Profit factor of 1.55 across 1,630 trades is directionally encouraging, but robustness depends heavily on resolving universe, timing, and slippage assumptions.

Backtest metrics snapshot

Metric	Value
Total Return	79.69%
Sharpe	0.76
Sortino	0.85
Calmar	0.48
Max Drawdown	-15.00%
Volatility	12.37%
Win Rate	37.06%
Profit Factor	1.55
Total Trades	1630
Symbols	20 (AAPL, ACON, AMZN, BETR, BRK-A, BRK-B, GOODO, GOOG, GOOGL, HOLO, +10 more)