The densification of small cells, ultimately towards ultra-dense networks (UDN), makes coordinated multipoint (CoMP) a feasible transmission solution for mobile users. However, CoMP may increase the handover rate, as users move across small and irregular BS cooperation regions. In this paper, we consider movement aware CoMP handover (MACH) in heterogeneous UDNs. Unlike most prior works, which focus on the handover trigger time, we explore the appropriate selection of BS cooperation set to reduce handover rate. By estimating cell dwell time, a user would be intelligently assigned to macro cell or small cell according to its movement trend. Moreover, we achieve a balance between BSs with long dwell time and the current best performed BS for multipoint cooperation while user moving. The performance of the proposed MACH is analyzed in terms of coverage probability and handover probability using stochastic geometry. Through extensive simulations, we show that the analytical results fit well with simulations, and the proposed MACH outperforms the existing works in both handover probability and coverage probability.