EmpiricalFX

Adaptive Zero Lag EMA Strategy [Ehlers + Ric]

Behold! A strategy that makes use of Ehlers research into the field of signal processing and wins so consistently, on multiple time frames AND on multiple currency pairs.
The Adaptive Zero Lag EMA (AZLEMA) is based on an informative report by Ehlers and Ric .
I've modified it by using Cosine IFM, a method by Ehlers on determining the dominant cycle period without using fast-Fourier transforms
Instead, we use some basic differential equations that are simplified to approximate the cycle period over a 100 bar sample size.

The settings for this strategy allow you to scalp or swing trade! High versatility!
Since this strategy is frequency based, you can run it on any timeframe ( M1 is untested) and even have the option of using adaptive settings for a best-fit.

>Settings
  • Source : Choose the value for calculations (close, open, high + low / 2, etc...)
  • Period : Choose the dominant cycle for the ZLEMA (typically under 100)
  • Adaptive? : Allow the strategy to continuously update the Period for you (disables Period setting)
  • Gain Limit : Higher = faster response. Lower = smoother response. See for more information.
  • Threshold : Provides a bit more control over entering a trade. Lower = less selective. Higher = More selective. (range from 0 to 1)
  • SL Points : Stop Poss level in points (10 points = 1 pip)
  • TP Points : Take Profit level in points
  • Risk : Percent of current balance to risk on each trade (0. 01 = 1%)

https://www.mesasoftware.com/papers/Zero...
http://www.jamesgoulding.com/Research_II...(Measuring%20Cycles).doc
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評論

these results are skewed by tradingviews backtesting engine right?
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jmoz ALovesvpreme
@ALovesvpreme, anything with a trailing stop I would imagine so.
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Do you think this would be a winner after fees and slippage are accounted for? Also, just found you today. You are very talented; excited to see future publications.
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EmpiricalFX simpelyfe
@simpelyfe, Yes, I do believe it would be! This backtest factors in $5 per Standard lot and 0.5 pips of slippage actually. I appreciate your comment & I'll be releasing a newer version today that makes less scalping trades so even traders that have high slippage and commission can benefit.
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