Strategy Card

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

Spec ID: spec-multitimeframe-momentum-us-stocks-1783167355_v5 · Generated: 2026-07-09 21:57 UTC

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

One-line description

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

Why this trade exists

The strategy attempts to capture medium-term equity trend persistence while reducing false positives by requiring agreement across two horizons. Daily signals react to recent price strength, while completed weekly signals impose a slower trend filter intended to avoid buying short-lived rebounds.

The structural rationale is that large-cap winners can continue to trend due to institutional flows, benchmark rebalancing, underreaction, and gradual information diffusion. ATR-based sizing normalizes position risk across names, and trailing stops seek to truncate left-tail losses while allowing persistent trends to compound.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Rule type	MULTI_TIMEFRAME_TREND_MOMENTUM	Long-only trend-following rule using daily and weekly filters
Universe	20 US stocks	Top capitalization-style universe from supplied symbols, including AAPL, MSFT, NVDA, AMZN, GOOG/GOOGL, BRK classes, etc.
Backtest window	2020-01-01..2026-07-15	Requested backtest interval; supplied data period is 2018-01-01..2023-01-01
Bar / rebalance	Daily / close	Signals and trades evaluated on daily bars at close
Daily trend	SMA20 > SMA50, close > SMA20, SMA20 5-day slope > 0	All daily bullish conditions required
Weekly trend	Weekly SMA20 > SMA50, weekly close > SMA20, SMA20 4-week slope > 0	Uses completed weekly bars only, Friday week close from last available daily close
Liquidity filter	20-day average dollar volume >= $10,000,000	Skip signals failing liquidity threshold
Position sizing	ATR volatility-adjusted	14-day ATR, target 1% risk per position, max 10% equity per position
Exits	Trend break, 3.0x ATR trailing stop, or 126 trading days	Exit if daily or weekly trend is no longer bullish
Leverage	Max 4.0x	Portfolio-level leverage cap
Costs	$0.004/share, $1 min/order, max commission 1%, 0 bps slippage	No modeled slippage; commissions included as specified
Missing data	Skip affected trades/signals	No synthetic execution prices allowed

Look-ahead audit

#	Concern	Status
1	Weekly signal look-ahead	Uses completed weekly bars only; current incomplete week is excluded
2	Same-close signal/execution timing	Signals use close data and execute at close, which may be optimistic unless modeled as market-on-close availability
3	Universe survivorship bias	Universe appears fixed from supplied symbols; survivorship and historical index membership should be reviewed
4	Corporate actions and adjusted prices	Requires confirmation that closes/highs/lows are consistently adjusted for splits and dividends where appropriate
5	Liquidity and capacity	Dollar-volume filter is present, but slippage is set to 0 bps, likely understating implementation cost
6	Data coverage mismatch	Requested backtest extends beyond supplied data end date; effective tested interval should be verified

Caveats / known limitations

• Fixed 20-symbol universe may not represent a realistic historical investable large-cap universe.
• Same-close signal generation and execution can introduce timing optimism if close prices are only known after the execution opportunity.
• Slippage is assumed to be zero, which may overstate realized performance, especially for less liquid or abnormal symbols.
• Several supplied tickers appear unusual for a large-cap universe, so symbol validity and point-in-time membership need review.
• Long-only momentum is exposed to equity beta, market crashes, and momentum reversals.
• ATR stops can reduce drawdowns but may also cause whipsaw in volatile sideways markets.
• Backtest interval and available data period are inconsistent in the specification, so the realized sample should be checked before relying on conclusions.

Results

The backtest shows positive but moderate risk-adjusted performance: total return was 64.87% with Sharpe 0.80, Sortino 0.92, and Calmar 0.59. Max drawdown was -13.57% with 12.43% volatility, while the low win rate of 36.09% was offset by a profit factor of 1.55 and larger average wins than losses across 1,330 trades. Overall, the results are directionally consistent with a trend-following profile, but robustness depends heavily on timing assumptions, universe construction, and realistic slippage treatment.

Backtest metrics snapshot

Metric	Value
Total Return	64.87%
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)