# ETF Trend System (K<=4, no leverage) - v2

This is a daily-signal / daily-rebalance trend-following system on a configurable ETF universe.

It is designed for:

- K<=4 holdings
- no leverage (net exposure <= 100%)
- portfolio vol cap (de-risk only), remainder parked in a rates ETF
- practical execution hygiene (cooldown / new listing protection / turnover band)

## Signals

- Trend filter (entry universe): MA(fast) > MA(slow)
  - default: MA5 > MA20
- Ranking score (higher is better):

  `score = (0.5*R20 + 0.3*R60 + 0.2*R120) / max(vol20, floor) + 0.5*trend_strength`

  where `trend_strength = ma_fast/ma_slow - 1`.

## Entry

On each rebalance day (daily):

- Candidate must satisfy:
  - `trend_ok == True` (MA cross)
  - `score >= min_score`
  - `min_history_days` protection (skip too-new series)
  - `cooldown_days` protection (after exit, avoid immediate re-entry)

## Position Sizing

- Risk parity on `vol20` across selected holdings.
- Per-asset cap: `max_weight_per_asset` (default 0.50)
- Portfolio vol cap (no leverage):

  `scale = min(1, target_ann_vol / port_vol(port_vol_window))`

  Remaining weight (1 - sum(weights)) is parked in `rates_fallback`.

## Exits (checked daily)

A position exits if any triggers:

- Trend break: MA(fast) < MA(slow)
- Chandelier stop: close < highest_close - atr_mult*ATR
- Stop loss from entry: close < entry_price - stop_loss_atr*ATR
- Take profit from entry: close > entry_price + take_profit_atr*ATR

## Trading Hygiene

- `rebalance_band`: ignore small weight changes to reduce churn.
- `min_hold_days`: do not rebalance-sell a very fresh position (risk exits still apply).
- `new_asset_days/new_asset_max_w`: cap weight of a newly-eligible asset for its first N tradable days after it passes the history gate.

## Outputs

Backtest runner writes 3 artifacts:

- equity curve parquet: `data/etf_trend_equity_*.parquet`
- weights parquet: `data/etf_trend_equity_*_weights.parquet`
- trades parquet: `data/etf_trend_equity_*_trades.parquet`