|
PureBytes Links
Trading Reference Links
|
Dickie:
I pasted your code of the Appell system into Amibroker and
ran it on the NDX data I have (mid 1985-present). Note your
code does not have slippage and I ran it as is (no slippage
or commission).
As a long system, it works well in the bull market of the
later 1990s (1995-April 2000), but it is not so hot for
more recent years. Also it only averaged a bit more than
10% for 1985-1995 (no slippage). I can see why Appell
choose to reveal this in a book - no golden goose is being
given away here.
That is the long perspective - see the attached jpeg for
equity curves (same curve, just from two different
perspectives). The top chart is log scale to get away from
the parabolic nature of AB's built in curve. The bottom
curve, AB's built in one, is good for seeing how often the
system is in cash and how frequently it trades.
I have also attached euqity curves for shorting with this
system - ouch! - Maximum DD is 77% and that is without
slippage or commissions.
b
--- Dickie Paria <babui@xxxxxxxxx> wrote:
> 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);
>
>
>
__________________________________________________
Do You Yahoo!?
Tired of spam? Yahoo! Mail has the best spam protection around
http://mail.yahoo.com
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/DldnlA/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|