ZLSMA-Block Momentum Exhaustion Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: M15, H1

Thesis

Market participants often overreact to short-term pullbacks within a broader trend. This strategy assumes that if the Zero-Lag Least Squares MA indicates a trend and MACD confirms momentum, a CCI recovery from -100 (for longs) represents the 'smart money' re-entering. By further filtering this with session-based Range Predictions (TimeBlocks), we avoid entering at exhaustion points of the daily range.

Components

• Zero Lag Least Squares Moving Average (ZLSMA) (regime) — Serves as the primary trend regime filter; price above ZLSMA validates bullish bias with minimal lag.
• Moving Average Convergence Divergence (MACD) (direction) — Ensures that the momentum is accelerating in the direction of the ZLSMA trend before an entry is considered.
• Commodity Channel Index (CCI) (entry) — Acts as the tactical entry trigger by identifying the moment price recovers from a minor counter-trend pull-back (oversold in an uptrend).
• Commodity Channel Index (Rosasurfer Framework) (exit) — Used for trend-change detection to exit positions when the momentum reaches exhaustion at the +/-100 boundaries.
• SuperTrend (risk) — Provides a dynamic, volatility-adjusted trailing stop-loss and determines initial position sizing.
• Bears Power (confirmation) — Confirms that bearish pressure is receding (Bears Power increasing) before a long entry is finalized.
• TimeBlocks (Multifunctional Period Separator) (volatility_filter) — Acts as a volatility and structural filter; prevents entries if the price is outside the predicted high/low range for the current block.

Known failure conditions

• Strategy enters a sustained 'sideways' regime where price oscillates within the SuperTrend ATR bands for >20 bars.
• Price consistently breaks the TimeBlocks Range Prediction boundaries without MACD histogram expansion, indicating low-liquidity 'drift'.
• ZLSMA slope remains flat while CCI triggers multiple entry/exit cycles (whipsaw).

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