Log-McNicholl Zero Lag Structural Trend Follower

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Crypto · Timeframes: 15m, 1h, 4h

Thesis

Market trends are more reliably captured in log-transformed space where price changes are viewed as percentage velocities. By using a zero-lag McNicholl EMA on these normalized values, we can enter trends before the 'lag-induced' crowd, while using real-time spread monitoring and market structure diagnostics (drawing getters) to ensure we are not trading into a liquidity trap or a congested range.

Components

• Drawing Property Getter Test (regime) — Functions as a technical diagnostic to ensure the 'Market Structure' (defined by automated or manual drawing objects like boxes/ranges) is being correctly interpreted before execution.
• Linear Regression (LINREG) (direction) — Determines the primary trend direction by fitting a least-squares line; ensures entries align with the prevailing momentum.
• McNicholl EMA (MCNMA) (entry) — Acts as the execution trigger; the zero-lag nature of the cascaded TEMA stages captures price turns significantly faster than standard EMAs.
• Ichimoku Kinko Hyo (exit) — Used for trailing exits; specifically, the Kijun-sen (Base Line) acts as a dynamic stop and the Kumo (Cloud) defines the exhaustion zone.
• Spread Display and Alert (risk) — Calculates position sizing and filters entries based on real-time transaction costs to ensure the zero-lag edge isn't eaten by slippage.
• Logarithmic Transformation (LOG) (volatility_filter) — Stabilizes price variance before it enters the MCNMA calculation, making the signals proportional to percentage moves rather than absolute price.

Known failure conditions

• Persistent high-spread environments where transaction costs exceed 50% of the average MCNMA trade range.
• Logarithmic compression failing to normalize variance in hyper-inflationary or 'shitcoin' assets with non-stationary price floors.
• Market structure drawing objects (boxes/labels) becoming too frequent, indicating high-frequency noise rather than tradable ranges.

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