zig zag.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Zig Zag
//  Author/Uploader: Jeff 
//  E-mail:          [e-mail]
//  Date/Time Added: 2005-06-14 22:15:57
//  Origin:          
//  Keywords:        
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=472
//  Details URL:     http://www.amibroker.com/library/detail.php?id=472
//
//------------------------------------------------------------------------------
//
//  normal zig zag with following differences:
//
//  - uses log difference instead of percentage
//
//  - has trigger point indicating when highs and /lows were detected
//
//  log difference is better because it is symmetrical, log(5/10) and log(10/5)
//  has same absolute value, whereas 5/10 and 10/5 have different values.
//
//  trigger is when you can make a trade. usually a rookie mistake, trades are
//  shown to be made at the peaks and troughs of a move, especially in
//  backtesting.
//
//------------------------------------------------------------------------------

// 'thold' is the threshold for the zig-zag turning points
// it is set to a minimum of 2.5% (approx, uses log difference
//  which is more accurate) or a volatility measure
// based on 2 day range over the past 100 days

min_thold=0.025;
thold=Max(min_thold,Median(ln(HHV(H,2)/LLV(L,2)),100));
thold=IIf(IsEmpty(thold),min_thold,thold);

// 't' is a multiplier of 'thold'
// the larger the value of 't', the more significant the
// turning point. Adjust it by opening the Parameter window
// (press ctrl-R)

t=Param("significance",2,2,6,1);

// initialization of variables

d=init=trig=HH=LL=z=0;

// main body
// this program is different than the canned zigzag in that
// it is symmetrical, it does not use percentages, but rather
// log differences. close price is not used either. high and
// low trades are used. an additional item is the trigger
// indicator. it shows the point where the zig or zag was
// identified.

for(i=1;i<BarCount;i++){
	if (log(H[i]/L[init])>HH) HH=log(H[i]/L[init]);
	if (log(L[i]/H[init])<LL) LL=log(L[i]/H[init]);
	if (HH>(t*thold[init]) && d<=0)
		{ z[init]--; trig[i]=-0.5; d=1;init=i;HH=0;LL=0; }

	if (H[i]>H[init] && d==1){init=i;LL=0;}

	if (LL<(-t*thold[init]) && d>=0)
		{ z[init]++; trig[i]=0.5; d=-1;init=i;HH=0;LL=0; }

	if (L[i]<L[init] && d==-1){init=i;HH=0;}
}

z_up=z>0; z_dn=z<0;

Plot(z_up,"zig",colorGreen,1);
Plot(-z_dn,"zag",colorRed,1);
Plot(trig,"trigger",colorBlue,1);