1. Introduction
The Zero Lag Trend Signals + Sideways filter indicator, developed by Algoalpha, is designed to capture trend changes rapidly by minimizing the lag inherent in traditional moving averages. It also incorporates a sideways-market filter to suppress signals when the instrument is trading in a range, thereby enhancing the reliability of entries and exits.
2. Overview
This indicator combines three core elements:
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ZLEMA (Zero Lag Exponential Moving Average): A moving average that adjusts for price lag.
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Volatility band (based on ATR): Defines upper and lower thresholds around the ZLEMA to confirm significant moves.
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Sideways-market filter: Uses RSI and ADX to detect low-momentum, ranging conditions and suspend trend signals.
3. Component Calculations
3.1 ZLEMA Calculation
-
Lag
-
Zero Lag EMA
-
srcis the source price (default:close). -
average[length, 1]is the built-in ProRealTime EMA function.
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3.2 Volatility Band
-
ATR over
lengthperiods -
Band width
-
multscales the band (default:1.2). -
Upper band =
zlema + band, Lower band =zlema − band.
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3.3 Sideways-Market Filter
-
RSI condition
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ADX condition
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Combined sideways flag
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When
sidewaysis true (andshowSideways = 1), grey points mark ranging bars.
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4. Signals and Visualization
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Trend state (
trend):-
Set to
1when price crosses abovezlema + band. -
Set to
–1when price crosses belowzlema – band. -
No change when
sidewaysis true.
-
-
Arrows
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Buy arrow: Upward arrow below price on fresh bullish trend.
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Sell arrow: Downward arrow above price on fresh bearish trend.
-
-
Extra markers
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Small green “▲” when price re-crosses ZLEMA in an uptrend.
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Small red “▼” when price re-crosses ZLEMA in a downtrend.
-
-
Colored area
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Fills between ZLEMA and the appropriate band to highlight trend strength:
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Solid color when in trend, transparent when out of band or sideways.
-
-
5. Parameters and Defaults
| Parameter | Default | Description |
|---|---|---|
length |
70 | Look-back for ZLEMA, ATR and highest ATR. |
mult |
1.2 | Multiplier for the ATR-based volatility band. |
src |
close |
Price source for ZLEMA calculation. |
rsilength |
14 | Period for the RSI component of the sideways filter. |
adxlength |
14 | Period for the ADX component of the sideways filter. |
showSideways |
1 | Show grey dots when market is detected as sideways (1 = on, 0 = off). |
6. ProRealTime Code
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//-------------------------------------// //PRC_Zero Lag Trend Signals + Sideways filter (Algoalpha) //version = 0 //06.05.25 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge //-------------------------------------// //---Inputs //-------------------------------------// length=70 mult=1.2 src=close rsilength=14 adxlength=14 showSideways=1 //-------------------------------------// // Sideways market calculation //-------------------------------------// //---RSI rsivalue=rsi[rsilength](close) rsiCondition=rsiValue>40 and rsiValue<60 //---ADX pdi=DIplus[adxlength](close) mdi=DIminus[adxlength](close) iadx=ADX[adxlength] adxCondition=iadx<=25 and iadx<pdi and iadx<mdi //---Sideways sideways=rsiCondition and adxCondition if showSideways and sideways then drawpoint(barindex,low-tr,2)coloured("grey") endif //-------------------------------------// // Zlema calculation //-------------------------------------// lag=floor((length-1)/2) myzlema=average[length,1](src+(src-src[lag])) //-------------------------------------// // Volatility calculation //-------------------------------------// atr=averagetruerange[length](close) volatil=highest[length*3](atr)*mult //-------------------------------------// // Trend condition //-------------------------------------// once trend=0 if sideways=0 then if close crosses over myzlema+volatil then trend=1 r=0 g=255 elsif close crosses under myzlema-volatil then trend=-1 r=255 g=0 endif endif //-------------------------------------// // Signals and colors //-------------------------------------// if trend=-1 then upper=myzlema+volatil alpha1=90 lower=myzlema alpha2=0 if trend<>trend[1] and sideways=0 then drawarrowdown(barindex,upper+0.25*atr)coloured(r,g,0,175) endif else upper=myzlema alpha1=0 lower=myzlema-volatil alpha2=90 if trend<>trend[1] and sideways=0 then drawarrowup(barindex,lower-0.25*atr)coloured(r,g,0,175) endif endif if close crosses over myzlema and trend=1 and trend[1]=1 and sideways=0 then drawtext("▲",barindex,myzlema-volatil*1.5)coloured("green") elsif close crosses under myzlema and trend=-1 and trend[1]=-1 and sideways=0 then drawtext("▼",barindex,myzlema+volatil*1.5)coloured("red") endif if barindex > 4*length then colorbetween(myzlema,upper,r,g,0,alpha1) colorbetween(myzlema,lower,r,g,0,alpha2) endif //-------------------------------------// return myzlema as "Zero Lag Basis"style(line,2)coloured(r,g,0) |
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