Triple Momentum Timing Strategy

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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