Hann-Filtered Zero Lag Trend Resumption

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX Majors, Liquid Indices (SPX500, NAS100), Large Cap Equities · Timeframes: H1, H4, D1

Thesis

This strategy hypothesizes that market trends are best captured by filtering 'high-frequency' noise through FIR filters (DMH) while using zero-lag regression (ZLSMA) to maintain sensitivity. By entering when local momentum (Stochastic) temporarily opposes the major trend, we gain a favorable risk-reward entry before the trend resumes. The CCI acts as a statistical exhaustion filter to capture the bulk of the impulse wave.

Components

• Ehlers Directional Movement with Hann (DMH) (regime) — Acts as the primary trend filter; the Hann window FIR filter reduces the 'spectral leakage' of standard DM, ensuring we only trade when a statistically significant directional bias is established.
• Zero Lag Least Squares Moving Average (ZLSMA) (direction) — Provides a high-sensitivity trend direction confirmation. By using Heiken Ashi inputs, it filters out minor price gaps while maintaining the zero-lag response needed to confirm the DMH regime.
• Stochastic Oscillator (ta.stoch) (entry) — Used to identify local momentum exhaustion (pullbacks) within the higher-order trend. Entering when the %K is oversold/overbought against the trend minimizes entry risk.
• Commodity Channel Index (CCI) (exit) — Exits positions when the price deviates significantly from its mean (exhaustion) or when the momentum mean-reverts through the zero line.
• iExposure Utility (risk) — Used to manage aggregate risk. It monitors the 'NetLots' and 'AvgPrice' to ensure that the strategy does not exceed maximum allowable drawdown per symbol.

Known failure conditions

• DMH remains near zero for extended periods (low volatility regime) resulting in signal decay.
• Price exhibits 'sawtooth' patterns where Stochastic signals occur but ZLSMA and DMH fail to align, indicating a non-trending range.
• NetLots exposure exceeds account margin requirements due to multiple failed entry attempts.

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).