Strategy Card

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

Spec ID: spec-multitimeframe-momentum-us-stocks-1783167355_v4 · Generated: 2026-07-09 21:15 UTC

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

One-line description

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

Why this trade exists

Persistent equity trends can arise from slow information diffusion, institutional rebalancing, benchmark-aware flows, and behavioral underreaction. Requiring both weekly and daily confirmation attempts to filter short-lived daily noise and participate only when intermediate-term and shorter-term price trends agree.

The strategy is structurally long-biased and therefore partly harvests equity beta, but the trend filter and ATR-based exits are intended to reduce exposure during weakening regimes. Volatility-adjusted sizing seeks to normalize risk contribution across names with different price volatility.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Universe	Top 20 US stocks by capitalization	Explicit tested list includes AAPL, AMZN, BRK-A/BRK-B, GOOG/GOOGL, MSFT, NVDA, TSLA, etc.
Direction	Long only	No shorts or market-neutral overlay.
Daily trend	20-day SMA > 50-day SMA; close > 20-day SMA; 20-day SMA 5-day slope > 0	Daily confirmation layer.
Weekly trend	20-week SMA > 50-week SMA; weekly close > 20-week SMA; 20-week SMA 4-week slope > 0	Uses completed Friday week only.
Rebalance	Daily at close	Signals and execution both close-based.
Liquidity filter	20-day average dollar volume >= $10,000,000	Skip entries below threshold.
Position sizing	ATR(14) volatility-adjusted	Target 1% equity risk per position.
Position cap	10% of equity per name	Before portfolio leverage constraint.
Max leverage	4.0x	Gross exposure limit.
Exits	Daily/weekly trend break, 3.0x ATR trailing stop, or 126-day max hold	Exit at close when triggered.
Backtest interval	2020-01-01 to 2026-07-15	Context also reports available data period 2018-01-01 to 2023-01-01.
Costs	$0.004/share commission; $1 minimum/order; max commission 0.01%; 0 bps slippage	Slippage assumption is optimistic.

Look-ahead audit

#	Concern	Status
1	Weekly indicator look-ahead	Uses completed weekly bars only; current incomplete week is excluded.
2	Close-to-close signal/execution timing	Signals are close-based and rebalance at close, which may be optimistic unless modeled as market-on-close orders with known cutoff handling.
3	Universe survivorship bias	Universe is top-cap fixed/listed from the specification; needs confirmation that historical constituents and delistings were handled point-in-time.
4	Corporate actions	Backtest depends on adjusted price integrity for splits/dividends; verify database adjustment policy.
5	Liquidity and execution	Dollar-volume filter is included, but slippage is set to 0 bps; real implementation should stress transaction costs.
6	Missing data	Policy skips signals/trades when required inputs are missing and disallows synthetic execution prices.

Caveats / known limitations

• Long-only exposure means results may be materially driven by large-cap US equity beta and the 2020-2021 bull market regime.
• The universe contains only 20 names, including share classes and unusual tickers, so diversification and universe construction should be reviewed.
• Zero-slippage assumption likely overstates performance, especially for names with lower liquidity or volatile closes.
• Close-based signal and execution can be hard to replicate exactly without robust market-on-close operational assumptions.
• Trend-following systems can whipsaw in sideways markets and may lag sharp reversals.
• Reported win rate is below 50%, so the edge relies on larger average winners than losers and disciplined stop/exit execution.
• Backtest/date metadata is inconsistent: the backtest interval extends beyond the stated data period, requiring validation before production use.

Results

The backtest reports a positive but moderate risk-adjusted profile: total return of 64.76%, Sharpe of 0.80, Sortino of 0.92, and Calmar of 0.59 with maximum drawdown of -13.57% and volatility of 12.43%. Trade-level behavior is consistent with trend following: win rate is only 36.09%, but profit factor is 1.55, suggesting payoff asymmetry from larger winners. With 1,330 trades across 20 symbols, the signal is active enough to evaluate, but robustness should be tested under realistic slippage, point-in-time universe construction, and out-of-sample regimes.

Backtest metrics snapshot

Metric	Value
Total Return	64.76%
Sharpe	0.80
Sortino	0.92
Calmar	0.59
Max Drawdown	-13.57%
Volatility	12.43%
Win Rate	36.09%
Profit Factor	1.55
Total Trades	1330
Symbols	20 (AAPL, ACON, AMZN, BETR, BRK-A, BRK-B, GOODO, GOOG, GOOGL, HOLO, +10 more)