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<FONT face=Arial color=#0000ff
size=2>Greg,
the
challenge is the signal will always be late. If you set your pivots at, say, 5%
then zz trend will not trigger until 5% after the turn actually happened. The
picture that Tomasz just posted illustrates this
perfectly......
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Greg
[mailto:gregbean@xxxxxxxxxxx]Sent: Monday, November 24, 2003 3:19
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Peak & Zig Zag
Hi,
I was wondering if anyone has read the Nov. 2003 TASC article about
ZigZag trend indicator.
The author claims it to be a tradeable indicator because it solves
theproblem of the dynamic last leg.
I was thinking this might be adapted with a validating signal such as
TRIX and or StoRSI but I haven't tested any further . Anybody have any
thoughts about the TASC article and/or the indicator?
Greg
Here is the code that TJ programmed:
/*THE ZIGZAG TREND INDICATOR
In "The Zigzag Trend Indicator" article Spyros Raftopoulos presents an
enhancement of his zigzag validity indicator. A new Zigzag Trend indicator is an
attempt to address shortcomings (mainly 'last leg' problem) of classic zigzag.
The technique involves delaying the response of the indicator as long as
reversal amount is reached AND last leg of zigzag line becomes valid AND can be
easily reproduced in AmiBroker using its native AFL language. Listing 1 shows
ready-to-use code that can be applied in Indicator Builder. It includes also a
very basic reversal trading system to be applied in Automatic Analysis window.
The percentage reversal amount can be changed on-the-fly without modifying the
code using the Parameters window.
LISTING 1*/
array = Close;
amount = Param<FONT
size=1>("Amount",
6,
1, <FONT
color=#ff00ff size=1>50, <FONT color=#ff00ff
size=1>0.5 );
zz0 = Zig(
array, amount );
zz1 = Ref( zz0,
-1 );
zz2 = Ref( zz0,
-2 );
tr = ValueWhen<FONT
size=1>(zz0 > zz1 AND zz1 < zz2, zz1);
pk = ValueWhen<FONT
size=1>(zz0 < zz1 AND zz1 > zz2, zz1);
PU = tr + 0.01 *
abs(tr)*amount;
PD = pk - 0.01 *
abs(pk)*amount;
ZZT = IIf( array
>= PU AND zz0 > zz1, <FONT color=#ff00ff
size=1>1,
IIf( array <= PD AND zz0 < zz1,
-1, <FONT
color=#ff00ff size=1>0 ) );
ZZT = ValueWhen(
ZZT != 0, ZZT
);
// plot price bar chart
Plot( Close, <FONT color=#ff00ff
size=1>"Price", colorBlack, styleBar
);
// plot Zigzag and zigzag trend
Plot( ZZT, <FONT color=#ff00ff
size=1>"ZigZagTrend", colorRed, styleOwnScale
);
Plot( zz0, "ZigZag
line", colorBlue, styleThick
);
// Plot the ribbon
ribboncol= IIf(
ZZT > 0,
colorGreen, colorRed );
Plot( 2<FONT
size=1>, "ZZT Ribbon",
ribboncol, styleArea | styleOwnScale | styleNoLabel,
0, <FONT
color=#ff00ff size=1>100 );
GraphXSpace = 10<FONT
size=1>;
Buy = Cover = <FONT color=#0000ff
size=1>Cross( ZZT, <FONT color=#ff00ff
size=1>0 );
Sell = Short = <FONT color=#0000ff
size=1>Cross( <FONT color=#ff00ff
size=1>0, ZZT );
// plot arrows
PlotShapes( Buy + <FONT color=#ff00ff
size=1>2 * Sell, ribboncol, <FONT
color=#ff00ff size=1>0, <FONT color=#0000ff
size=1>IIf( Buy, L, H ),
-30 );
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 3:29
PM
Subject: RE: [amibroker] Re: Peak &
Zig Zag
The
Challenge Phsst is that the legs can changed based on future data in which
case your buy or sell signal can simply vanish in the back test. Zig can be
very useful in real time but like every thing else in Real time you simply can
not know for sure until time has past if your signal was in fact valid or not.
A back test using zig (or peak or trough) will always show you the best
signals only and none of the failed signals.
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Monday, November 24, 2003 1:57
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Peak & Zig ZagExcuse me... Enter key on Subject
Line gets me too often.It is clear that Zig Zag *can* give unrealistic
test results becauseit looks into the future. This is documented. But
there is almost thecaveat *can* included in the caution.But are
there any known conditions where test results can be relied upon.For
example if a calculated trendline up to the current bar is morethan a few
bars old, and is linear for those past bars, and correlates(for lack of a
better word) with current bar close price, does thisnot perhaps mean
that an assumption can be safely made that futureprices have not yet
influenced the current
trend?Regards,PhsstSend BUG REPORTS
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