Just wanted to check something - I assume that for the Z strategies, the correct index assets to trade would be the cash index, not the futures index, right?

You can't trade a cash index. There is no such product. In addition all CFD indices should be based of futures prices, not cash, since cash indices are closed most of the time.

Having said that, most traders would look at cash for entry signals, even when trading futures (when cash is open).

Ah OK. Thanks for the reply.