Trend Following with Zero-Lag LSMA and Chandelier Exit Signals

Summary

This trend-following strategy pairs a zero-lag linear regression moving average (ZLSMA) with a Chandelier Exit (CE). ZLSMA is calculated by applying linear regression twice and correcting the first estimate by their difference. CE uses average true range (ATR) to form trailing stop levels from recent price extremes. A change in CE direction can trigger an entry when price is also on the matching side of ZLSMA; the strategy closes an opposing position when the CE direction flips.

The document describes configurable indicator settings and publishes a BTC/USDT futures test period, but includes no reported returns or other performance measurements. It notes that sideways markets may create repeated false signals and costs, that results can depend on the moving-average length and ATR settings, and that the rules lack a separate initial stop. It suggests testing higher-timeframe confirmation, signal filters, stop rules, and position sizing. The narrative favors a 15-minute setting, while the published backtest configuration shown is daily, so the stated timeframe preference is not demonstrated by the supplied test details.

Key ideas

• ZLSMA estimates trend direction using a linear-regression value corrected by a second regression.
• Chandelier Exit levels use ATR and recent highs or lows to create volatility-scaled trailing stops.
• Entries require a CE direction change and price to be on the corresponding side of ZLSMA.
• The described implementation closes the opposing position when CE changes direction.
• Range-bound conditions, sensitive settings, and the lack of a separate initial stop are cited risks.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.