Zig-Zag trader strategy

• 05/11/2016 at 7:54 AM #6756
  MikeGC

  The Zig-Zag Trader strategy shows excellent results over 10 years but given the nature of the Zig-Zag indicator, I was wondering if it was viable as an automatic trader.

  As you are no doubt aware, the direction and length of each Zig-Zag is not finally established until the beginning of the next leg. The question is whether this code is affected, as it is only looking at the direction of the leg not long after it is established.

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions ZZST = ZigZag[1](totalPrice) c1 = ZZST > ZZST[1] IF c1 AND NOT LongOnMarket THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions to exit long positions c2 = ZZST < ZZST[1] IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions c3 = ZZST < ZZST[1] IF c3 AND NOT ShortOnMarket THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions to exit short positions c4 = ZZST > ZZST[1] IF c4 THEN EXITSHORT AT MARKET ENDIF // Stops and targets

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions ZZST = ZigZag[1](totalPrice)   c1 = ZZST > ZZST[1]   IF c1 AND NOT LongOnMarket THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions to exit long positions c2 = ZZST < ZZST[1]     IF c2 THEN SELL AT MARKET ENDIF   // Conditions to enter short positions c3 = ZZST < ZZST[1]   IF c3 AND NOT ShortOnMarket THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Conditions to exit short positions c4 = ZZST > ZZST[1]   IF c4 THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets

  I would very much appreciate your feedback on the viability of this strategy.

  

  MikeGC

  Participant

  Topics: 4

  Replies: 30

  Been thanked: 6 times
  05/11/2016 at 11:21 AM #6788
  Daznic

  I hoped to use ZigZag as part of an automatic trading strategy but Automatic trading in Proreal Time didn’t support this indicator on V10.1, haven’t tried it since 10.2 was released.

  

  Daznic

  Participant

  Topics: 1

  Replies: 6

  Been thanked: 0 times
  05/11/2016 at 12:05 PM #6792
  Nicolas

  Hello Mike, unfortunately this strategy can’t work in real time.

  ZigZag indicator are not supported into ProOrder because of its lookback needs to recalculate recent highs and lows to draw zigzag points and it’s not allowed in PRT. While it is great to avoid the so-called “repainting” indicators, it’s also something that sometimes missed in development needs.

  So the embedded zigzag that is pre-calculated into the platform can’t be taken into real information in backtest. Sorry.

  When you test a strategy with an equity curve so straight, there’s something wrong for sure!

   

  1 user thanked author for this post.

  Jan

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  05/12/2016 at 1:14 PM #6877
  MikeGC

  Many thanks, Nicolas.  I see the impossibility of trading this live.  This harks back to the problems with the strategy based on the screener I posted with three indicators – the need to define the change in trend satisfactorily.

  

  MikeGC

  Participant

  Topics: 4

  Replies: 30

  Been thanked: 6 times
  11/11/2016 at 12:05 AM #16368
  msblend

  Hi Nicolas,

  Perhaps if I have the original prorealtime code of zig zag indicator I can solve this repaint. Do you have the code?

   

  1 user thanked author for this post.

  ALE

  

  msblend

  Participant

  Topics: 1

  Replies: 2

  Been thanked: 2 times
  11/11/2016 at 12:25 AM #16369
  MikeGC

  Dear @msblend,

  Thank you for your query.  I had never thought about stabilising the ZigZag.  However, I went to https://www.prorealtime.com/en/indicator-library-open-496 and found the code for a stabilised version.  Here is what the author wrote:

  ZIGZAG TREND

  ZigZag Trend

  Binary indicator which adopts the Zigzag mechanism but as opposed to the above two indicators, it gives always valid signals about the direction of a trend and shows when that trend was confirmed.
  It does not show peaks and troughs like Zigzag, but returns +1 for valid up trends and -1 for valid downtrends and it rejects all the invalid trends.
  The real power of ZZT is that its signals are never revisable, so you can let the indicator provide valid signals for both the past and the present.

  Indicator programming

  // price value price = close // ZigZag method : 1=percent, 2=points method = 1 // Reversal amount amnt = 10 IF method=1 THEN zz0 = ZigZag[amnt](price) ELSE zz0 = ZigZagPoint[amnt](price) ENDIF zz1 = zz0[1] zz2 = zz0[2] IF zz0 > zz1 AND zz1 < zz2 THEN ztr = zz1 ENDIF IF zz0 < zz1 AND zz1 > zz2 THEN zpk = zz1 ENDIF IF method=1 THEN PU = ztr + Abs(ztr) * amnt / 100 ELSE PU = ztr + amnt ENDIF IF method=1 THEN PD = zpk - Abs(zpk) * amnt / 100 ELSE PD = zpk - amnt ENDIF IF price >= PU AND zz0 > zz1 THEN res = 1 ELSIF price <= PD AND zz0 < zz1 THEN res = -1 ELSE res = 0 ENDIF RETURN res AS"ZZT"

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44

  // price value price = close // ZigZag method : 1=percent, 2=points method = 1 // Reversal amount amnt = 10 IF method=1 THEN zz0 = ZigZag[amnt](price) ELSE zz0 = ZigZagPoint[amnt](price) ENDIF   zz1 = zz0[1] zz2 = zz0[2]   IF zz0 > zz1 AND zz1 < zz2 THEN ztr = zz1 ENDIF   IF zz0 < zz1 AND zz1 > zz2 THEN zpk = zz1 ENDIF   IF method=1 THEN PU = ztr + Abs(ztr) * amnt / 100 ELSE PU = ztr + amnt ENDIF   IF method=1 THEN PD = zpk - Abs(zpk) * amnt / 100 ELSE PD = zpk - amnt ENDIF   IF price >= PU AND zz0 > zz1 THEN res = 1 ELSIF price <= PD AND zz0 < zz1 THEN res = -1 ELSE res = 0 ENDIF   RETURN res AS"ZZT"

  1 user thanked author for this post.

  ALE

  

  MikeGC

  Participant

  Topics: 4

  Replies: 30

  Been thanked: 6 times
  11/12/2016 at 12:04 PM #16414
  Nicolas

  Thanks Mike, but even if its informations are not “revisable”, the use of ZigZag indicator in its code make it useless for automatic trading purpose, ProOrder will reject the code.

  To point highest high and lowest low, there are plenty of other indicators in the Library:

  • original Bill Williams Fractals indicator for Prorelatime version 10.2
  • Zig-zag indicator made of Fractals points for Prorealtime version 10.3
  • Another version of the Zig-Zag indicator with 2 sets of zigzag points (PRT v10.3 only)
  • pivot high/low indicator, almost like Fractals pivots..

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  11/12/2016 at 8:46 PM #16429
  MikeGC

  Thanks @Nicolas.  After much research, I find that the SuperTrend is an excellent indicator of trend as it takes account of ATR.  I have also tested Pivot Hi/Lo but not as a trend indicator .  I look forward to testing the other 3 you mention.

  As always your assistance is much appreciated .

  Cheers , Mike

  

  MikeGC

  Participant

  Topics: 4

  Replies: 30

  Been thanked: 6 times
  05/23/2017 at 4:27 PM #36462
  CKW

  Hi Nicholas,

  is Multi Factals Indicator that you shared on library is the most similar indicator as ZigZag? I just realized ZigZag can’t be used on automatic trading & glad found this post. Attatched screenshot, Line in black is ZigZagpoints (30*pointsizes), Green line is MultiFactals. My strategy requires cleaner chart like ZigZag. Do we have other indicators ?

  br,
  CKW

   

  

  CKW

  Participant

  Topics: 22

  Replies: 87

  Been thanked: 8 times
  05/24/2017 at 8:12 AM #36488
  Nicolas

  You could potentially get the same thing as the original ZigZag with this indicator: http://www.prorealcode.com/prorealtime-indicators/fractals-zigzag/ You could use Close instead of High/Low values to get the new fractals points. Also a conditional statement to know if the new detected fractal is 30*pointsizes away from the last one should help.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  05/24/2017 at 9:35 AM #36495
  CKW

  Thanks Nicholas. Good idea

   

  

  CKW

  Participant

  Topics: 22

  Replies: 87

  Been thanked: 8 times
  08/04/2017 at 12:43 PM #42476
  JR1976

  DEar Nicolas ,

  actually ( vers 10.3)  is not available yet the ZIGZAG indicator in proorder ?

  Thanks

  REgards

  

  JR1976

  Participant

  Topics: 16

  Replies: 88

  Been thanked: 8 times
  08/04/2017 at 1:17 PM #42477
  Nicolas

  No, I don’t feel like it will be the case soon..

  1 user thanked author for this post.

  JR1976

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  07/26/2018 at 3:32 PM #76824
  ironshirow

  Ciao,

  esiste un indicatore che sia simile allo ZigZag e che possa essere usato con proorder 10.3?

  Ciao

  

  ironshirow

  Participant

  Topics: 23

  Replies: 37

  Been thanked: 1 time
  07/26/2018 at 3:48 PM #76825
  Vonasi

  ironshirow – please ONLY use English in the English speaking forum. If you want to communicate in Italian then please use the Italian forums and post a link to this topic. 🙂

  Si prega di utilizzare SOLO l’inglese nel forum di lingua inglese. Se vuoi comunicare in italiano, per favore usa i forum italiani e pubblica un link a questo argomento. 🙂

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
• Author
  Posts