Modified Triple Momentum Strategy – Amibroker AFL code

Triple Momentum Strategy is from Gerald Appel, introduced in his 2005 book, “Technical Analysis: Power Tools for Active Investors.” It’s included on pages 58-63 of his book. That section is headed, “The Triple Momentum Nasdaq Index Trading Model.” Gerald Appel, is also probably best known for his creation – Moving Average Convergence Divergence (MACD).

Mr. Appel’s Says, “There is only one buy rule and only one sell rule: You buy when the Triple Momentum Level, the sum of the 5-, 15-, and 25-day rates of change, crosses from below to above 4%. You sell when the Triple Momentum Level, the sum of the 5-, 15-, and 25-day rates of change, crosses from above to below 4%.“

Here is a slightly modified Triple Momentum Strategy which works good with Equities and Commodities for Positional Trading and one can consider this as a low risk strategy.

“There is only one buy rule and only one exit rule: You buy when the Triple Momentum Level, the sum of the 5-, 15-, and 25-day rates of change, crosses from below to above 4%. You Exit Longs when the Triple Momentum Level, the sum of the 5-, 15-, and 25-day rates of change, crosses from above to below 0%.“

Nifty Hourly Charts

Nifty Spot Hourly

Steps to Install the Indicator

1)Download Triple Momentum Timing Model
2)Unzip the files Triple Momentum Timing Model.afl and Triple Momentum Indicator.afl to //amibroker//formulas//system// folder
3)Apply both the indicators to the New Blank charts

Backtesting with Nifty hourly Charts
Backtested the strategy on the Nifty Hourly Charts(Spot) since June 2009 with 2lots of Nifty and Rs100 per leg as a brokerage (i.e Rs200 per buy and sell transaction). Here are the results

Triple Momentum Backtesting

Equity Curve
Equity

Profit Table
Profit Table

Underwater Equity
Underwater Equity

Recent Momentum Signals from Nifty50 pack

Sunpharma and TCS(Cash market) turned to Buy mode as the Triple momentum indicator crossed above the 4 level. One can hold the stock until the indicator hold above Zero. Cover your longs if the momentum enters the negative zone.

Sunpharma Hourly Charts
Sunpharma Hourly Charts

TCS Hourly Charts
TCS Hourly Charts

Related Readings and Observations

Comments

  1. Pravin Mane says

    This is very useful site for traders (who uses algo). Thanks for designing such site and disclosing afl codes.

  2. Nehal Suthar says

    hi rajandran r, i’ve been using amibroker since last 1.5 years and i tried to run back test report many times without any success. so could you please help me how to run back test report in amibroker? thanks in advance!

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