Strategy Card

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

Spec ID: spec-multitimeframe-momentum-us-stocks-1783167355_v6 · Generated: 2026-07-10 05:58 UTC

Cluster: Momentum · Sub Cluster: Weekly Daily Trend Alignment

One-line description

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

Why this trade exists

The strategy attempts to capture medium-term trend persistence by requiring agreement across two timeframes: a shorter daily trend and a slower weekly trend. The premise is that stocks with synchronized daily and weekly upside momentum may benefit from institutional flows, delayed information diffusion, and behavioral underreaction.

The completed-week filter is intended to reduce noise and avoid reacting to unfinished weekly bars, while the daily filter provides timelier entry and exit control. ATR-based sizing and trailing stops seek to normalize risk across names with different volatility profiles.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Rule type	MULTI_TIMEFRAME_TREND_MOMENTUM	Long-only trend-following rule
Universe	Top 20 US stocks by capitalization	Symbols include AAPL, AMZN, BRK-A, BRK-B, GOOG, GOOGL, JPM, MSFT, NVDA, TSLA, and others
Backtest window	2020-01-01 to 2026-07-15	Supplied plan; available data period shown as 2018-01-01 to 2023-01-01
Bar / rebalance	Daily bars, rebalance at close	Signals and execution both use close-based daily data
Daily trend	20-day SMA > 50-day SMA; close > 20-day SMA; 20-day SMA slope over 5 days positive	Daily confirmation layer
Weekly trend	20-week SMA > 50-week SMA; weekly close > 20-week SMA; 20-week SMA slope over 4 weeks positive	Weekly confirmation layer
Weekly resampling	Daily-to-weekly, Friday close, completed weeks only	Avoids incomplete weekly bar usage
Liquidity filter	20-day average dollar volume >= $10,000,000	Entry filter only
Position sizing	ATR volatility-adjusted	1% target risk per position using 14-day ATR
Position cap	10% of equity per symbol	Limits single-name concentration
Max leverage	4.0x	Gross exposure cap
Exit rules	Trend failure, 3.0x ATR trailing stop, or 126-day max hold	Multiple exit triggers
Costs	$0.004/share commission, $1 minimum order, 1% max commission, 0 bps slippage	Slippage assumption is optimistic

Look-ahead audit

#	Concern	Status
1	Weekly trend uses incomplete week data	Mitigated by use_completed_week_only=true and Friday completed-week resampling
2	Same-close signal and execution	Requires care: if indicators use the same close as execution price, live implementation may need next-bar execution or closing auction modeling
3	Survivorship bias in top-cap universe	Needs verification that universe membership is point-in-time rather than current constituents applied historically
4	Corporate actions and adjusted prices	Must confirm split/dividend adjustments are consistently applied to close/high/low and volume-derived fields
5	Data-period mismatch	Backtest interval extends beyond the stated available data end date, so effective tested dates should be verified
6	Transaction cost realism	Commission modeled, but slippage is 0 bps; market impact and close-auction liquidity are not stress-tested

Caveats / known limitations

• Long-only exposure means returns are likely sensitive to broad US equity beta and large-cap growth leadership.
• The universe is only 20 names, creating concentration risk and dependence on mega-cap constituents.
• Some listed symbols appear unusual for a large-cap universe, so symbol mapping and point-in-time capitalization filters should be reviewed.
• Close-to-close signal/execution assumptions may overstate implementability if trades cannot reliably be executed at the signal close.
• Zero slippage is optimistic, especially with daily rebalancing and ATR-based resizing.
• Trend-following rules can underperform in choppy, mean-reverting markets and may exit after rapid gap-down moves.
• The reported win rate is modest, so performance depends on average winner/loss asymmetry and disciplined stop/exposure management.

Results

The backtest produced a positive total return of 64.88% with a Sharpe ratio of 0.80, Sortino of 0.92, and maximum drawdown of -13.57%. The profit factor of 1.55 and win rate of 36.09% are consistent with a trend-following profile: many losing or flat trades offset by larger winners. Results are directionally encouraging but should be interpreted with caution given the concentrated universe, zero-slippage assumption, and the apparent mismatch between the requested backtest interval and stated data availability.

Backtest metrics snapshot

Metric	Value
Total Return	64.88%
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)