Z-Lag CG Momentum Expansion

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Indices · Timeframes: M15, H1

Thesis

Market trends often begin with a burst of momentum that pushes price outside its typical deviation (CCI > 100). By using a zero-lag linear regression to identify the direction and the Ehlers Center of Gravity to ensure we are at the start of a cyclic 'swing', we can capture the meat of a daily expansion move before it reaches session structural resistance (Pivots). The use of previous session extremes as stops assumes that if the market breaks the prior day's high/low in the opposite direction, the current trend thesis is structurally invalidated.

Components

• Commodity Channel Index (CCI) (regime) — Acts as a momentum-volatility filter to ensure price is significantly deviating from its mean before trend-following entries are considered.
• Zero Lag Least Squares Moving Average (ZLSMA) (direction) — Identifies the underlying short-term trend direction with minimal lag to ensure entry is aligned with the immediate bias.
• Rate of Change (ROC) (entry) — Triggers the trade when momentum accelerates across the zero-line threshold.
• Pivot Points (Classic) (exit) — Provides structural price targets (R1/S1) for dynamic profit taking based on floor trader logic.
• Daily High Low MTF (risk) — Provides hard structural boundaries (previous day high/low) for stop-loss placement and risk-adjusted positioning.
• Ehlers Center of Gravity (CG) (confirmation) — Confirms entry by ensuring the price is at a cycle 'imbalance' point, filtering out mature trends.

Known failure conditions

• Strategy yields more than 5 consecutive losses in a tight ranging market (CCI oscillating near zero).
• The Daily High-Low range contraction leads to stop-losses being placed within the spread of the asset.
• Price consistently breaches ZLSMA but fails to reach Pivot Point S1/R1 before reversing.

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