Strategy Card

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

Spec ID: spec-multitimeframe-momentum-us-stocks-1783167355_v7 · Generated: 2026-07-10 08:19 UTC

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

One-line description

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

Why this trade exists

Trend persistence can arise from slow information diffusion, institutional rebalancing, benchmark flows, and behavioral underreaction. Requiring both daily and weekly trend confirmation attempts to filter short-lived rallies and participate only when momentum is aligned across horizons.

The structure is deliberately simple: it favors liquid large-cap stocks, uses price-only signals, and relies on volatility-adjusted sizing so that higher-volatility names receive smaller allocations. The trade exists if multi-horizon trend confirmation improves signal quality enough to offset delayed entries, whipsaws, and transaction costs.

Algorithm

[code omitted from public view]

Parameters

Param	Value	Notes
Rule type	MULTI_TIMEFRAME_TREND_MOMENTUM	Long-only multi-timeframe trend-following rule
Universe	Top 20 US stocks by capitalization	Provided symbol set includes AAPL, AMZN, BRK-A, BRK-B, GOOG, GOOGL, JNJ, JPM, MSFT, NVDA, TSLA, V, WMT, XOM and others
Daily trend	20-day SMA above 50-day SMA; close above 20-day SMA; 20-day SMA slope over 5 days positive	Daily confirmation layer
Weekly trend	20-week SMA above 50-week SMA; weekly close above 20-week SMA; 20-week SMA slope over 4 weeks positive	Uses completed Friday weeks only
Entry liquidity filter	20-day average dollar volume >= $10,000,000	Avoids illiquid entries
Rebalance	Daily at close	Signals and executions evaluated on daily bars
Position sizing	ATR volatility-adjusted	14-day ATR; target 1% risk per position; max 10% portfolio per stock
Exit rules	Trend failure, 3.0x ATR trailing stop, or 126-day max hold	Exits if either daily or weekly trend turns non-bullish
Max leverage	4.0x	Portfolio-level leverage cap
Backtest window	2020-01-01 to 2026-07-12	As specified in the backtest plan
Available data period	2018-01-01 to 2023-01-01	Indicator warmup/data availability context
Costs	$0.004/share commission; $1 minimum/order; 0.01% max commission; 0 bps slippage	Slippage assumption is optimistic

Look-ahead audit

#	Concern	Status
1	Weekly signal timing	Uses completed weekly bars only, reducing same-week look-ahead risk
2	Daily close execution	Signals are evaluated at the close; execution at the same close may be optimistic unless modeled as market-on-close availability
3	Universe construction	Top-cap universe may embed survivorship or point-in-time membership bias if not reconstructed historically
4	Indicator warmup	SMA, slope, ATR, and volume filters require sufficient prior data; missing inputs are skipped
5	Corporate actions	Results depend on split/dividend-adjusted prices and consistent volume-dollar calculations
6	Costs and liquidity	Commissions included, but 0 bps slippage likely understates implementation friction

Caveats / known limitations

• Same-close signal and execution can overstate achievable performance if market-on-close mechanics are not explicitly simulated.
• The universe is very concentrated and includes unusual tickers alongside mega-cap names; results may be sensitive to symbol selection and data quality.
• Slippage is set to 0 bps, which is optimistic even for liquid large-cap stocks.
• Trend-following systems can underperform in choppy, mean-reverting markets due to repeated whipsaws.
• Weekly confirmation reduces false positives but may delay entries and exits.
• The reported backtest interval extends beyond the stated available data period, so data coverage should be reconciled before relying on the result.
• No walk-forward analysis is specified, so parameter robustness is not established.

Results

The backtest produced a 64.88% total return with a Sharpe ratio of 0.80, Sortino of 0.92, and maximum drawdown of -13.57%. Profit factor was 1.55 across 1,330 trades, with a relatively low 36.09% win rate offset by larger average wins than losses. Overall, the profile is consistent with a trend-following approach: moderate risk-adjusted returns, meaningful turnover, and dependence on capturing extended upside trends while limiting losses during failed breakouts.

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)