McNicholl-NET Structural Momentum

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

Thesis

The strategy hypothesizes that market structure shifts (ZigZag) followed by a surge in non-linear price-time correlation (Ehlers NET) indicate the start of a persistent trend. By using a zero-lag triple EMA (MCNMA) for entry, the system attempts to bypass the lag of traditional filters, while the expanding volatility (ATR HA) ensures the trend has sufficient energy to overcome the spread. The 'anchor' EMA (UDF) prevents trading against the primary session direction.

Components

• ZigZag+ v5 (regime) — Establishes the macro regime by requiring the most recent confirmed swing to be a Higher Low (long) or Lower High (short).
• Unsupported UDF Switch Reassignment EMA (direction) — Acts as a 'deep anchor' baseline; since length scales with bar_index, it provides a long-term directional bias that becomes increasingly stable (and lagged) as the session progresses.
• McNicholl EMA (MCNMA) (entry) — The primary execution trigger. Its six-stage cascaded architecture minimizes lag, allowing for entry at the earliest sign of a momentum shift within the identified regime.
• Parabolic SAR (Standard) (exit) — Provides a dynamic trailing exit that tightens as the trend matures, capturing the majority of the swing once momentum fades.
• Bollinger Bands (risk) — Defines the risk parameters (Stop Loss) and position size based on the current volatility envelope.
• Ehlers Noise Elimination Technology (NET) (confirmation) — Filters out stochastic noise by ensuring price movement has a high rank correlation with time, confirming a non-random trend is underway.
• ATR Heiken Ashi (volatility_filter) — Ensures entries only occur during periods of expanding volatility to avoid the 'whipsaw' characteristic of the MCNMA in ranging markets.

Known failure conditions

• The UDF EMA length grows to a point where it ceases to react to local price action entirely (infinite lag).
• ZigZag repaints a swing high/low after entry, indicating the 'confirmed' regime was false.
• Persistent low-volatility 'band walking' where ATR HA remains flat but price drifts into stops.

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