Strategy Card

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

Spec ID: spec-multitimeframe-momentum-us-stocks-1783167355_v16 · Generated: 2026-08-01 09:09 UTC

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

One-line description

Long-only US stock momentum strategy that buys liquid names only when daily and completed-week trend filters are simultaneously bullish. Positions are volatility-sized with a 10% notional cap and exited on trend failure, ATR trailing stop, or maximum holding age.

Why this trade exists

Trend-following assumes that price moves in large liquid equities can persist because information diffusion, institutional rebalancing, benchmark flows, and behavioral underreaction do not resolve instantly. Requiring both daily and weekly alignment attempts to filter out short-lived bounces and participate only when shorter-term strength is confirmed by a slower regime signal.

The ATR-based sizing and trailing stop are structural risk controls: they reduce concentration in high-volatility names, cut positions whose realized path no longer supports the trend, and allow winners to run until either trend alignment breaks or the time stop is reached.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Rule type	MULTI_TIMEFRAME_TREND_MOMENTUM	Long-only multi-timeframe trend filter
Universe	20 US stocks	Supplied symbols; nominally top 20 by capitalization
Backtest window	2023-01-01..2026-08-05	Daily bars
Initial capital	$30,000	Portfolio capital base
Max leverage	4.0x	Portfolio-level leverage allowance
Rebalance	Daily at close	Market-on-close execution convention
Daily trend	SMA20 > SMA50, close > SMA20, 5-day SMA20 slope > 0	All conditions required
Weekly trend	SMA20w > SMA50w, weekly close > SMA20w, 4-week SMA20w slope > 0	Uses completed Friday week only
Liquidity filter	20-day avg dollar volume >= $10,000,000	Entry eligibility screen
Position sizing	ATR(14) risk sizing	Target 1% equity risk per position
Position cap	10% of equity	Per-name notional cap
Trailing stop	3.0 * ATR(14)	Long exit stop
Max holding period	126 trading days	Time-based exit
Costs	$0.004/share, $1 min/order, max commission 1%, 0 bps slippage	No explicit market-impact model

Look-ahead audit

#	Concern	Status
1	Daily close/high/low/volume signals executed at same-day open	Not present; strategy executes at the close using the platform MOC convention
2	Weekly trend using incomplete current week	Controlled; weekly bars use completed week only with last available Friday close
3	Moving-average and ATR windows using future bars	No future bars required; indicators are trailing-window calculations
4	Liquidity screen using unavailable future volume	Uses trailing 20-day average dollar volume, evaluated at close
5	Survivorship or universe reconstitution bias	Open item; the supplied 20-symbol basket appears static over the test window

Caveats / known limitations

• The supplied 20-name universe is static and includes unusual symbols alongside mega-caps, so the result should be read as a test on this basket rather than a clean survivorship-free US large-cap universe.
• The strategy is long-only and concentrated in a small set of large US equities, leaving returns highly exposed to equity beta, mega-cap technology cycles, and market regime.
• The backtest uses 0 bps slippage and no explicit market-impact model; realized execution costs can be higher, especially for smaller or abnormal tickers in the supplied basket.
• The test covers a relatively short 2023-2026 window and has no walk-forward validation, so parameter stability across bear markets and different rate regimes is uncertain.
• Turnover is meaningful at 834 trades, making the result sensitive to commission assumptions, MOC liquidity, and stop-trigger churn.
• A 4.0x leverage allowance exists even though per-position notional is capped at 10%; portfolio drawdowns can still rise if many correlated names qualify simultaneously.
• The low win rate indicates the strategy relies on occasional larger winners offsetting frequent small losses, which can degrade if trends become choppy or gap through trailing stops.

Results

The backtest produced a positive total return of 31.85% with moderate risk-adjusted performance: Sharpe 0.79, Sortino 1.03, Calmar 0.74, and max drawdown of -10.98%. Profit factor was 1.46 despite a 34.05% win rate, consistent with a trend-following profile where average winners are larger than average losers. The 834 trades suggest the filters are active rather than buy-and-hold, so robustness to transaction costs and universe construction is material.

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	897	0.99x the 905 trading days in 2023-01-01..2026-08-05
Distinct dates	897	one row per date
Date span	2023-01-03 .. 2026-07-31
Sum of daily returns	31.85%	matches the reported total return
Sharpe from these rows	0.79	stored 0.79
Volatility from these rows	11.39%	stored 11.39%
Max drawdown from these rows	-10.98%	stored -10.98%
CAGR from these rows	8.08%	stored 8.08%

Backtest metrics snapshot

Metric	Value
Total Return	31.85%
Sharpe	0.79
Sortino	1.03
Calmar	0.74
Max Drawdown	-10.98%
Volatility	11.39%
Win Rate	34.05%
Profit Factor	1.46
Total Trades	834
Symbols	20 (AAPL, ACON, AMZN, BETR, BRK-A, BRK-B, GOODO, GOOG, GOOGL, HOLO, +10 more)