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Triple Momentum Timing Strategy

by QuantShare, 1759 days ago
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Here is a modified version of the Triple Momentum Strategy described by Gerald Appel in his "Technical Analysis: Power Tools for Active Investors." book. Gerald Appel is also known for creating several trading indicators including the popular Moving Average Convergence Divergence (MACD).

The triple momentum indicator/level is simply the sum of the 5, 15 and 25-day rates of change. As with the original strategy, there is only one simple buy and sell rules.

The strategy enters long a stock when the triple momentum level (sum of the different rates of change) is above 5%
The strategy exits an existing position if the triple momentum level drops below -1%
The strategy doesn't enter any long position if the S&P 500 index is below its 50-bar moving average. In the trading system, the S&P 500 index is referenced using the yahoo ticker symbol "^GSPC".

The trading system was backtested on most S&P 500 stocks and produced the following results for the period that spans from 2005 to 2015

Annual Return: 15.05%
Drawdown: -24.21%
Shape: 0.62
Percent Winners: 42.35%
Average Bars Held: 19

The backtest was done using EOD data and a maximum of four positions held at the same time.


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Type: Trading System

Object ID: 1556


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.