ZLEMA Directional Entries with Partial Profit Targets

Summary

This document describes a long-only approach using the direction of a zero-lag exponential moving average (ZLEMA) to time entries and exits. It enters when the ZLEMA rises and closes when it falls. Two configurable profit targets are calculated from the average entry price, and an ATR-based floating stop level is plotted. The stated defaults include a 14-period ZLEMA, targets at 1% and 5%, partial quantities of 10% and 50%, and an ATR period of 17 with a multiplier of 2.2. However, the supplied code submits target exits and closes on the ZLEMA direction change; it does not appear to submit an order using the plotted ATR stop.

The surrounding explanation instead describes a simple crossover strategy using short and long simple moving averages, which conflicts with the ZLEMA implementation. The published settings specify a Bitcoin futures backtest window, but no performance results are included. The code and description therefore leave uncertainty about the intended method. The material also does not quantify the risks of lagging direction changes, parameter sensitivity, or execution costs, and it offers no evidence that the stated configuration generalizes beyond the specified test.

Key ideas

• The supplied implementation enters long when ZLEMA rises and closes when it turns down.
• Two configurable percentage targets can close portions of the position.
• An ATR-based stop level is plotted, though the code does not appear to place an exit order at that level.
• The explanation describes SMA crossovers, which conflicts with the ZLEMA-based source.
• The stated Bitcoin futures backtest window has no accompanying performance results.

Tags

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