Strategy Card

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

Spec ID: spec-multitimeframe-momentum-us-stocks-1783167355_v2 · Generated: 2026-07-09 07:41 UTC

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

One-line description

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

Why this trade exists

Multi-timeframe trend alignment attempts to capture persistent equity winners while reducing exposure to short-lived daily noise. Requiring both daily and weekly moving-average structure to be bullish is a structural confirmation filter: the daily signal provides entry timing, while the weekly signal seeks broader regime support.

The rationale is behavioral and flow-based: investors underreact to improving fundamentals and price strength, while systematic and discretionary trend followers can reinforce moves once breakouts persist across horizons. ATR-based sizing and trailing exits aim to normalize risk across names and let large winners offset a relatively low hit rate.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Universe	20 US stocks	Top capitalization-filtered list in spec; includes AAPL, AMZN, BRK classes, GOOG/GOOGL, MSFT, NVDA, TSLA, etc.
Direction	Long only	No short book or explicit market hedge.
Daily trend	20-day SMA > 50-day SMA; close > 20-day SMA; 20-day SMA 5-day slope > 0	Daily timing and confirmation filter.
Weekly trend	20-week SMA > 50-week SMA; weekly close > 20-week SMA; 20-week SMA 4-week slope > 0	Uses completed weeks only, Friday close from last available daily close.
Liquidity	20-day average dollar volume >= $10,000,000	Entry filter only as specified.
Rebalance	Daily at close	Signals and executions evaluated on daily bars.
Position sizing	ATR volatility-adjusted	14-day ATR; target risk 1% of equity per position; max 10% notional per position.
Exits	Trend failure, 3.0x ATR trailing stop, or 126-day max hold	Exits triggered by either daily or weekly trend turning non-bullish.
Max leverage	4.0x	Portfolio-level leverage cap in rule parameters.
Backtest window	2020-01-01 to 2026-07-20	Specified plan window; available data period shown as 2018-01-01 to 2023-01-01.
Costs	$0.004/share commission; $1 minimum/order; max commission 1%; 0 bps slippage	Slippage is set to zero, so realized implementation costs may be understated.
Missing data	Skip trade/signal if required data is missing	No synthetic execution prices allowed.

Look-ahead audit

#	Concern	Status
1	Weekly signal look-ahead from incomplete current week	Mitigated by use_completed_week_only=true and Friday completed-week resampling.
2	Close-to-close execution timing	Needs care: signals use close/high/low data and rebalance at close, which can be optimistic unless execution is modeled at next close/open or with realistic delay.
3	Survivorship bias in top-cap universe	Needs verification: universe appears fixed from the supplied symbol list rather than point-in-time historical constituents.
4	Corporate actions and splits/dividends	Needs verification that price series are properly adjusted and tradable share quantities are consistent.
5	Liquidity and transaction cost realism	Partially addressed by dollar-volume filter and commissions; not addressed by market impact because slippage is 0 bps.
6	Data availability vs backtest interval	Needs reconciliation because plan extends to 2026-07-20 while stated data period ends 2023-01-01.

Caveats / known limitations

• Fixed 20-name universe can create survivorship and selection bias if not built point-in-time.
• Long-only exposure means results are sensitive to equity market beta and large-cap growth regimes.
• Zero slippage assumption likely overstates net performance, especially during volatile exits and stop-like behavior.
• Close-based signal and close execution may be optimistic without a one-bar delay or executable closing auction model.
• Weekly trend filters can reduce whipsaw but may exit late after fast reversals.
• Low win rate indicates reliance on asymmetric winners; performance may degrade if trend persistence weakens.
• The presence of unusual or very small symbols in a nominal large-cap list should be checked for data quality and universe construction errors.

Results

The backtest produced a positive total return of 64.90% with moderate risk-adjusted performance: Sharpe 0.80, Sortino 0.93, and Calmar 0.59. Drawdown was contained at -13.57% with 12.43% annualized volatility, while the 36.14% win rate and 1.55 profit factor are consistent with a trend-following profile that depends on larger average winners than losers. Results are directionally plausible for a long-only large-cap momentum strategy, but should be interpreted cautiously given zero slippage, possible close-execution optimism, and universe/data-period audit items.

Backtest metrics snapshot

Metric	Value
Total Return	64.90%
Sharpe	0.80
Sortino	0.93
Calmar	0.59
Max Drawdown	-13.57%
Volatility	12.43%
Win Rate	36.14%
Profit Factor	1.55
Total Trades	1328
Symbols	20 (AAPL, ACON, AMZN, BETR, BRK-A, BRK-B, GOODO, GOOG, GOOGL, HOLO, +10 more)