ZigZag {TTR}

Zig Zag

Description

Zig Zag higlights trends by removing price changes smaller than change and interpolating lines between the extreme points.

Usage

ZigZag(HL, change = 10, percent = TRUE, retrace = FALSE, lastExtreme = TRUE)

Arguments

HL

Object that is coercible to xts or matrix and contains either a High-Low price series, or a Close price series.

change

Minimum price movement, either in dollars or percent (see percent).

percent

Use percentage or dollar change?

retrace

Is change a retracement of the previous move, or an absolute change from peak to trough?

lastExtreme

If the extreme price is the same over multiple periods, should the extreme price be the first or last observation?

Details

The Zig Zag is non-predictive. The purpose of the Zig Zag is filter noise and make chart patterns clearer. It's more a visual tool than an indicator.

Value

A object of the same class as HL or a vector (if try.xts fails) containing the Zig Zag indicator.

Warning

The last value of the ZigZag indicator is unstable (i.e. unknown) until the turning point actually occurs. Therefore this indicator isn't well-suited for use for systematic trading strategies.

Note

If High-Low prices are given, the function calculates the max/min using the high/low prices. Otherwise the function calculates the max/min of the single series.

Author(s)

Joshua Ulrich

References

The following site(s) were used to code/document this indicator:
https://www.fmlabs.com/reference/default.htm?url=ZigZag.htm
https://www.linnsoft.com/techind/zig-zag-indicator-zig-zzo
https://www.linnsoft.com/techind/zig-zag-oscillator-indicator-zzo
https://www.metastock.com/Customer/Resources/TAAZ/?p=127
https://school.stockcharts.com/doku.php?id=technical_indicators:zigzag

Examples

 ## Get Data and Indicator ##
 data(ttrc)
 zz <- ZigZag( ttrc[,c("High", "Low")], change=20 )