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I came across the 'Triple Momentum' trading system while browsing
through Gerald Appell's latest book, "Power Tools........". Its a
simple market timing system for Nasdaq100. Basically - he takes the
percentage rate of change for the Nasdaq Composite for the 5 day, 15
day and 25 day period. He then sums them up. His buy condition and
sell conditions are simple. If the sum of the rate of change (for
the 3 periods) is greater than 4% (i.e., the plotted line crosses 4%
from below) - he buys. If it drops below 4% from above - he sells.
If I remember correctly - he tests it year by year for the last 15-20
yrs or so. His average annual gains is 18%+ while the buy and hold
results are 8%/yr or so.
Attached is the code. Perhaps someone can test it against Nasdaq100
(yr by yr) and post it on this discussion. Also - I only glanced
through the book for a few minutes. My explanation above is from
memory and I would appreciate it if someone would check my code
against the books explanation and make any corrections/suggestions.
I added a 'Short' and 'Cover' rule which is not in the book. I
believe his system only bought 'Long'. AFL code below
*******************************************
/* Triple Momentum Trading System
** from Gerald Appells book "Power Tools......."
** Coded by Dickie Paria for AB Group Discussion,
*/
Cond1 = 100 * ((Close - Ref (Close, -5))/Ref (Close, -5));
Cond2 = 100 * ((Close - Ref (Close, -15))/Ref (Close, -15));
Cond3 = 100 * ((Close - Ref (Close, -25))/Ref (Close, -25));
TripleMLine = Cond1 + Cond2 + Cond3;
Plot( TripleMLine, "TripleMLine", colorRed, styleThick );
Plot (4,"",colorBlue,styleNoLabel);
Buy = Cover = Cross (TripleMLine, 4);
Sell = Short = Cross (4, TripleMLine);
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