ZigZag CG Gravitational Trend Follower
Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Forex, Indices, Commodities · Timeframes: H1, H4
Thesis
The strategy assumes that prices follow a fractal trend structure where medium-term momentum (L'mas) aligns with long-term swings (ZigZag). By entering at the cyclical center of gravity (CG) of price rather than at the breakout extreme, we capitalize on the 'restoration of trend' after minor pullbacks, while using volatility-adjusted exits (SSL/Chandelier) to account for the increasing randomness of late-stage trends.
Components
- ZigZag Color (Classic) (regime) — Identifies the structural macro-trend by requiring price to exceed a volatility threshold before confirming a new swing leg.
- MA Channel Band (L'mas System) (direction) — Provides medium-term momentum confirmation by ensuring both price and a fast MA have escaped a slower volatility channel.
- Ehlers Center of Gravity (CG) (entry) — Detects the 'balance point' within a price cycle to provide an entry signal at the moment of local momentum inflection.
- SSL Channel (exit) — Acts as a trailing trend-flip mechanism to capture the meat of the move while exiting on momentum exhaustion.
- Chandelier Exit (Heiken Ashi) (risk) — Provides aggressive, volatility-adjusted stop-loss levels and position sizing logic based on Heiken Ashi smoothed price action.
- Nadaraya-Watson Envelope (EMA Proxy) (volatility_filter) — Filters out trades where price is extremely overextended or trapped in a low-volatility squeeze relative to the DEMA baseline.
Known failure conditions
- Three consecutive stop-outs where price triggers the CG entry but fails to move beyond the L'mas Upper/Lower band.
- Realized volatility exceeds the NW Envelope width by 300% (indicating a high-impact news event or regime shift).
- ZigZag leg length remains below the ExtDepth parameter for extended periods, signifying a flat range.
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