Zig Zag — ZigZag • TTR

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?

Value

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

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.

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.

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.

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

Author

Joshua Ulrich

Examples


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