Strategy Card

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

Spec ID: spec-multitimeframe-momentum-us-stocks-1783167355_v3 · Generated: 2026-07-09 10:34 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 daily and completed-week trends are both bullish. Positions are ATR-sized, capped per name, and exited on trend failure, ATR trailing stop, or max holding period.

Why this trade exists

Persistent equity trends can arise from gradual information diffusion, investor underreaction, institutional rebalancing, and benchmark-driven flows. Requiring both daily and weekly trend confirmation attempts to filter short-lived rallies and participate only when momentum is visible across horizons.

The strategy is long-only and applied to liquid large-cap stocks, where capacity is plausible but alpha may be more modest. Volatility-adjusted sizing seeks to normalize risk across names, while ATR trailing stops and trend exits are designed to cut deteriorating positions before large drawdowns dominate the portfolio.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Rule type	MULTI_TIMEFRAME_TREND_MOMENTUM	Long-only trend/momentum rule
Universe	20 US stocks	Top market-cap-style universe supplied in spec; includes AAPL, AMZN, BRK-A/B, GOOG/GOOGL, JPM, MSFT, NVDA, TSLA, etc.
Liquidity filter	$10,000,000	Minimum 20-day average dollar volume
Daily trend	20-day SMA, 50-day SMA	Require close > 20-day SMA, 20-day SMA > 50-day SMA, and positive 5-day 20-SMA slope
Weekly trend	20-week SMA, 50-week SMA	Require weekly close > 20-week SMA, 20-week SMA > 50-week SMA, and positive 4-week 20-SMA slope
Weekly bars	Friday close, completed week only	Weekly close is last available daily close in the completed week
Rebalance	Daily at close	Signals and execution evaluated on daily bars
Position sizing	ATR volatility-adjusted	14-day ATR, 1% target risk per position, 10% max position size
Leverage cap	4.0x	Portfolio-level maximum leverage parameter
Exit rules	Trend failure, 3x ATR trailing stop, 126-day max hold	Exit if daily or weekly trend turns non-bullish
Backtest window	2020-01-01..2026-07-16	As specified in backtest plan; available data period is 2018-01-01..2023-01-01
Costs	$0.004/share, $1 min/order, 1% max commission, 0 bps slippage	No explicit slippage modeled, which may overstate realizable results

Look-ahead audit

#	Concern	Status
1	Weekly signal look-ahead	Mitigated by using completed weekly bars only and last available daily close for the week
2	Close-to-close execution timing	Needs care: signals use close data and rebalance at close, so live implementation may require next-close or MOC assumptions
3	Survivorship bias	Potential concern if the 20-stock universe is selected with knowledge of later market capitalizations or delistings
4	Corporate actions	Requires split/dividend-adjusted prices and consistent volume/dollar-volume history
5	Missing data	Signals/trades are skipped when required prices, volume, or execution data are missing
6	Transaction costs	Commissions included, but slippage is set to 0 bps and should be stress-tested

Caveats / known limitations

• Small, concentrated 20-name universe; results may be driven by a few mega-cap winners.
• Long-only equity beta exposure is likely material; performance may not represent pure momentum alpha.
• Universe construction may introduce survivorship or look-ahead bias if constituents are not point-in-time.
• Close-based signal and execution assumptions are optimistic unless implemented with realistic market-on-close mechanics.
• No slippage is modeled despite frequent trading: 1,328 trades in the reported backtest.
• Weekly/daily SMA parameters are simple and may be overfit to recent large-cap technology leadership.
• Backtest plan end date extends beyond the stated data period, so the effective tested sample should be verified.

Results

The reported backtest is profitable, with total return of 64.90%, Sharpe of 0.80, Sortino of 0.93, and Calmar of 0.59. Drawdown is moderate at -13.57% with 12.43% volatility, while the low win rate of 36.14% is offset by larger average wins than losses and a profit factor of 1.55. The result is directionally consistent with a trend-following profile, but robustness should be checked with point-in-time universe construction, slippage stress, and out-of-sample testing.

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)