Z-Momentum Structural Trend Follower

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Commodities · Timeframes: H1, H4, D1

Thesis

The strategy assumes that when a trend is established (SMA), buying/selling pressure (Bulls Power) will manifest as a volatility breakout (Z-Score). By entering at the onset of a statistical price deviation and exiting when volume flow (MFI) confirms exhaustion or structural resistance (Roshaneforde) is met, we capture high-probability momentum bursts.

Components

• Simple Moving Average (SMA) (regime) — Filters the long-term trend to ensure trades are only taken in the direction of the institutional bias.
• Bulls Power (direction) — Provides the directional momentum confirmation by measuring the strength of buyers relative to the exponential mean.
• Z-Score (entry) — Identifies the specific moment price accelerates away from its short-term mean, acting as a breakout trigger.
• Money Flow Index (MFI) (exit) — Exits positions when volume-weighted momentum reaches exhaustion levels, capturing the meat of the move.
• Roshaneforde Pivot Levels (risk) — Uses structural candle-engulfing reversals to set hard stops and calculate risk-adjusted position sizes.

Known failure conditions

• The strategy loses edge if price remains in a tight range where Z-Score whipsaws across zero while SMA is flat.
• Failure occurs if MFI remains in overbought/oversold zones for extended periods while price reverses sharply against the trend.
• The Roshaneforde levels are too far from entry, resulting in unfavorable risk-to-reward ratios.

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