StockFetcher Forums · Filter Exchange · Triple Momentum ROC<< 1 2 3 4 5 ... 7 >>Post Follow-up
chetron
2,817 posts
msg #72421
Ignore chetron
3/10/2009 9:42:29 PM

YES

chetron
2,817 posts
msg #72422
Ignore chetron
modified
3/10/2009 9:58:51 PM

HMMMMMMM...................

Fetcher[

/* INTRADAY */
/* TACHIKAWA */
/* longs */
SET{VAR1,ROC(5) + ROC(15)}
SET{xroc,ROC(25) + VAR1}

SET{xroc_osc,INDPOSITION(xroc,60) * 100}

DRAW xroc_osc
DRAW xroc
ADD COLUMN xroc_osc
ADD COLUMN xroc

xroc 1 DAY AGO crossed below 4
XROC ABOVE XROC 1 DAY AGO
CLOSE ABOVE .1
VOLUME ABOVE 1000000


]



chetron
2,817 posts
msg #72426
Ignore chetron
modified
3/11/2009 6:39:04 AM

FOR SHORTS.....


Fetcher[


/* INTRADAY */
/* TACHIKAWA */
/* shorts */

SET{VAR1,ROC(5) + ROC(15)}
SET{xroc,ROC(25) + VAR1}

SET{xroc_osc,INDPOSITION(xroc,60) * 100}

DRAW xroc_osc
DRAW xroc
ADD COLUMN xroc_osc
ADD COLUMN xroc

xroc 1 DAY AGO crossed ABOVE -4
XROC BELOW XROC 1 DAY AGO
CLOSE ABOVE .1
VOLUME ABOVE 1000000

]



municipal
12 posts
msg #72431
Ignore municipal
3/11/2009 9:54:12 AM

Zack ,

In what book did you read that Triple Momentum signal?

Thanks, Willie

glgene
535 posts
msg #72488
Ignore glgene
3/11/2009 1:40:20 PM

Here is where the idea from the Triple Momentum ROC came from:

Gerald Appel, 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."

The examples he uses are with the Nasdaq index. He doesn't use any statistics with using this tool with individual stocks. Strictly the NASDAQ index. His test period was from 1972 thru 2004 (partial).

Today, I would use QQQQ as the proxy for the trade (and analysis).

Anyway, here is what he says:

"There is only one buy rule and only one sell rule. You buy when the Triple Momentum Level ----- the sum of the 5-day, 15-day and 25-day rates of change [ROC] ----- crosses from below to above 4%. You sell when it crosses from above to below 4%."

Here are his best/worst backtested trading model years:

Worst: -0.3% [1974] ---- the only negative year from 1982 thru 2004 (partial)
Best1 +50.9% [1998]
Best:2 +50.0% [2003]

From 1982 thru 2004(part) his gain per annum is 19.8%.

For the worst buy/hold periods (thru 2004), citing the Naz index:


------- Buy/hold ----- Triple Momentum

2000 -39.3% ................ +8.6%

2001 -21.1% ................ +27.5%

2002 -31.5% ................ + 4.9%

When you factor in the compounded results of negative returns, that really slams overall performance.

Using his 19.8% per annum gain he cites, here is what buy/hold vs. Triple Momentum produces:

1982 thru 2004 (assuming 2004 produced a full year's results). Starting with $10,000.
Does not take into consideration trading costs or taxes.
====================================================================
Buy/hold: $81,402 (using 10% compounded yearly results from broad market average)
invested long 100% of time

TripleMom: $532,169
invested long 45.9% of the time (the rest of the time in cash). 8.9 Round-trip trades per year.

TripleMom: More gains, less risk [time invested]. What's wrong with that? More time for golf during your days off.

As I write this, the Triple Momentum signal has not recently fired a "buy" for the QQQQ. Still below 4% (in fact, below 0)

Says Appel: "I have found in my research that very few timing models have maintained their peformance in recent years, and that the Triple Momentum model has done far better than most."

Great book. Tons of good TA info in it. I bought the book when it cost $44.95 and just recently "rediscovered" it on my book shelf. Don't know its current availability/cost. Don't know how "TripleMom" has produced from all of 2004 thru current times.

Zack

glgene
535 posts
msg #72529
Ignore glgene
3/11/2009 5:22:39 PM

Eyeballing Stockfetcher Rate-of-Change [ROC] charts, it looks as if today (3/11/09) ended like this:

QQQQ:
-----------
5-day ROC: +2%

15-day ROC: -5%

25-day ROC: -7%
----------------------------
Summation: -10%

Thus, the Triple Momentum signal would still have you in cash. A "buy" would be summation going above +4%.

If anybody thinks I'm not calculating this properly, please let me know. I accept all constructive criticism. I don't like mistakes (especially my own).

Zack

chetron
2,817 posts
msg #72530
Ignore chetron
3/11/2009 6:01:12 PM

NO NEED TO EYEBALL HERE.....
READ THE COLUMN DATA....


Fetcher[


SET{VAR1,ROC(5) + ROC(15)}
SET{XROC,ROC(25) + VAR1}

SET{VAR3,INDPOSITION(XROC,60) * 100}


DRAW VAR3
DRAW XROC
ADD COLUMN VAR3
ADD COLUMN XROC

SYMLIST(QQQQ)

CLOSE ABOVE .1
VOLUME ABOVE 1000000


]



chetron
2,817 posts
msg #72531
Ignore chetron
3/11/2009 6:35:51 PM

HISTORICALLY ABOVE 0......


Fetcher[


SET{VAR1,ROC(5) + ROC(15)}
SET{XROC,ROC(25) + VAR1}
SET{TRIGGER_HISTORY,COUNT(XROC NEAR 4,1)}
SET{VAR3,INDPOSITION(XROC,60) * 100}

DRAW TRIGGER_HISTORY
DRAW VAR3
DRAW XROC
ADD COLUMN VAR3
ADD COLUMN XROC

SYMLIST(QQQQ)

CLOSE ABOVE .1
VOLUME ABOVE 1000000
CHART-TIME 2 YEAR


]



glgene
535 posts
msg #72532
Ignore glgene
3/11/2009 7:32:15 PM

Chetron,

Keem 'em coming! You're right. The SYMLIST(QQQQ) answered that specific question.
Took the guesswork out of eyeballing the 3 charts.

Still, some questions:

1) I still don't quite understand what VAR3 does. Can you elaborate relative to TripleMOM?

2) Your trigger points on graph: Are these buys or sells?

According to my scrolling of the SF graph, it appears TripleMOM (xroc) dipped below 4 when the QQQQ finished 2/10/09 at $30.34. End-of-day on 3/10/09 was $27.33. Had a person been a follower of the TripleMOM approach, he or she would be 10% better off (in cash) than continuing to buy/hold QQQQ during that 1-month period of time. Not bad! Also, it would have kept one out of the Sept-Oct meltdown. Very good! Cash can be "part" of a strategy. Takes some risk out of the market.

Comments on all the above?

Zack



chetron
2,817 posts
msg #72533
Ignore chetron
3/11/2009 10:20:16 PM

AS FOR 1) , USING QQQQ 3 MONTH CHART AS AN EXAMPLE. VAR3 IS AT 39%, WHERE YOU'LL NOTICE THAT OVER THE LAST 60 DAYS, THAT THE HIGHEST HIGH FOR XROC IS 20 AND THE LOWEST LOW FOR XROC IS -30, SO 50% WOULD BE -5ISH, AND XROC BEING AT -10 IS 39% OF THE 60 DAY RANGE.


HTH

StockFetcher Forums · Filter Exchange · Triple Momentum ROC<< 1 2 3 4 5 ... 7 >>Post Follow-up

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