Zero-Lag Fractal Flow Scalper

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities (Large Cap), FX Majors · Timeframes: 5m, 15m

Thesis

Intraday price movements are driven by a cycle of balance and imbalance; the edge lies in identifying when a zero-lag trend alignment coincides with a structural break (Fractal) and volume confirmation (MFI). By entering only when price deviates from its rolling midpoint, we capture the momentum 'surge' toward session-based volatility extensions while using a trailing volatility stop (Chandelier) to manage risk during trend exhaustion.

Components

• Zero Lag Least Squares Moving Average (ZLSMA) (regime) — Acts as the primary trend filter to ensure entries are aligned with the immediate underlying bias while minimizing the lag typically found in SMAs.
• Fisher-based Scalping Indicator (direction) — Provides a cyclical momentum pulse to ensure the entry occurs as momentum is accelerating in the direction of the trend.
• Williams Fractals (entry) — Identifies structural 'breakout' points; requires a 2-bar delay for confirmation to ensure a valid local swing high/low was formed.
• Trepidity Opening Range with Extensions (exit) — Provides objective, volatility-derived profit targets based on the initial balance of the trading session.
• Chandelier Exit (risk) — Dynamic volatility-based trailing stop that adjusts based on the highest high (for longs) or lowest low (for shorts) achieved during the trade.
• Money Flow Index (MFI) (confirmation) — Confirms price breakouts with volume flow, ensuring that the fractal break is backed by significant participation.
• MIDPOINT: Rolling Midpoint (volatility_filter) — Acts as a 'gravity' filter; entries are only permitted if price has deviated from the median range, suggesting a breakout from a localized balance.

Known failure conditions

• Price consistently trades within the OR_Mid range without reaching Extension_1.
• The Fisher indicator oscillates rapidly around zero during ZLSMA-identified trends (low-volatility chop).
• Fractal breaks are immediately followed by MFI reversals back into the 20-80 neutral zone.

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