Re: [amibroker] Attn: Joe Landry, AmiBroker Email List Archive

Hi Joe,

When we talked last week, you expressed an interest in using the ZigZag as a benchmark for your systems. I am in the process of rewriting some old indicators, and I just finished a new and better version of the Opt Zig. Just thought you might like to try it. If you shouild have any quetions, please feel free to ask. Happy trading!

Steve

PS - From/To dates (in param dialog) don't work right now due to bug in ParamDate function. TJ is aware and once it is fixed I think these dates will work OK.

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// Filename: AO Zig.afl

// Task: Plot auto-opt ZigZag.

// Settings:

// -Apply To: use filter > watchlist > eod universe

// -Range: n last quotations > n = (pds to test) OR from: (start date), to: (end date)

// -Button: explore

// Notes:

// user defined parameters

InitEquity = GetOption( "InitialEquity" ); // do not remove, InitEquity used again further down

SetPositionSize( InitEquity, spsValue ); // use initial equity for all trades

// set charting options

//SetBarsRequired( 100000, 100000 );

SetChartOptions( 0, chartShowDates|chartShowArrows );

// initialize variables

OptP1 = 0; // percent change

OptEquity = 0;

OptInd = 0;

// optimization loop

Field = ParamField( "Apply To", -1 );

MinPar1 = Param( "Opt Loop - Min % Change", 1, 1, 100, 1 );

MaxPar1 = Param( "Opt Loop - Max % Change", 50, 1, 100, 1 );

StepPar1 = Param( "Opt Loop - Step % Change", 1, 0.1, 10.01, 0.1 );

for( StepP1 = MinPar1; StepP1 <= MaxPar1; StepP1 = StepP1 + StepPar1 )

{

// define buy/sell rules

StepInd = Zig( Field, StepP1 );

StepInd1B = Ref( StepInd, -1 ); // StepZig 1 day back

StepInd2B = Ref( StepInd, -2 ); // StepZig 2 days back

Cover = Buy = StepInd > StepInd1B AND StepInd1B < StepInd2B;

Sell = Short = StepInd < StepInd1B AND StepInd1B > StepInd2B;

// evaluate step results

RangeType = Param( "Equity() Range Type", -1, -2, 3, 1 );

FromPds = Param( "Quotes/Days ( Range Types 1/2 )", 126, 2, 2520, 1 );

FromDate = ParamDate( "From Date ( Range Type 3 )", Date() );

ToDate = ParamDate( "To Date ( Range Type 3 )", Date() );

if ( RangeType == 3 )

StepEquity = LastValue( Equity( 1, RangeType, FromDate, ToDate ) );

else

StepEquity = LastValue( Equity( 1, RangeType, FromPds ) );

if( StepEquity > OptEquity )

{

OptP1 = StepP1;

OptEquity = StepEquity;

OptInd = StepInd;

}

// calculate profits

OptProfitPts = OptEquity - InitEquity;

OptProfitPct = OptProfitPts / InitEquity * 100;

// exploration results

Filter = BarIndex() == BarCount - 1;

AddColumn( OptP1, "Opt Pct" );

AddColumn( OptProfitPts, "$ Profit" );

AddColumn( OptProfitPct, "% Profit" );

// plot results

Color = Param( "Color", 42, 0, 55, 1 );

Plot( OptInd, "Opt Zig", Color, styleLine );

Plot( OptP1, "Opt Zig % Change", Color, styleOwnScale|styleNoLine|styleNoLabel );

Plot( OptProfitPts, "$ Profit", Color, styleOwnScale|styleNoLine|styleNoLabel );

Plot( OptProfitPct, "% Profit", Color, styleOwnScale|styleNoLine|styleNoLabel );

Plot( Close, "Price", colorBlack, styleCandle );