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FWIW, Greg, I just attended a mechanical-system
design presentation at which the Pardo book was mentioned favorably...along with
books by Perry Kaufman, Joel Krutsinger, Chuck Lebeau, and Murray
Ruggiero
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Greg
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 1:01
PM
Subject: Re: [amibroker] Re: Peak &
Zig Zag
Jayson,
I noticed that also. I guess there are better indicators for me to be
exploring at this time.
I just received Robert Pardo's book , "Design, Testing, and
Optimization of Trading Systems" , today . I think I'll go read that and see
what I can learn. Lots, I imagine !
Bye for now,
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxx
href="">Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 4:29
PM
Subject: RE: [amibroker] Re: Peak &
Zig Zag
<FONT face=Arial color=#0000ff
size=2>Greg,
<FONT face=Arial color=#0000ff
size=2>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<FONT
size=1>(tr)*amount;
PD = pk - 0.01 *
abs<FONT
size=1>(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<FONT
size=1>( 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, <FONT color=#ff00ff
size=1>"ZigZag line", colorBlue,
styleThick );
// Plot the ribbon
ribboncol= IIf<FONT
size=1>( ZZT > 0,
colorGreen, colorRed ); <FONT color=#0000ff
size=1>
Plot( <FONT color=#ff00ff
size=1>2, "ZZT
Ribbon", ribboncol, styleArea |
styleOwnScale | styleNoLabel, <FONT color=#ff00ff
size=1>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,
0, <FONT
color=#0000ff size=1>IIf( Buy, L,
H ), -30
);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxx
href="">Jayson
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 3:29
PM
Subject: RE: [amibroker] Re: Peak
& Zig Zag
<FONT face=Arial color=#0000ff
size=2>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
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