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Spyros (or anyone who might care to comment),
Have you done any time based work with Zig Zag? I am thinking about
something that would plot intraday (strictly on a historical basis for
testing purposes for now). It would start with yesterday's closing
price and draw a line once the security is up some percentage (i.e.,
let's say 1%) on the SPY, for example. Then it would plot another line
(the zag, if you will) if we reversed and went down by .5%, and so forth
for the rest of the day. The next day it would start all over again
considering only the prior day close to start the calculation.
I'm thinking about plotting this on 5 min bars on past data to get a
historical idea of what percentage of the time when the market is
up/down some given percentage on that day only, that it continues in
that direction (at least without some XX percentage pullback).
Before I dig into the Spyros Zig Zag or the regular one on MS, I thought
I'd see if anyone had done anything like this before.
Good Trading,
Joe J.
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