How ZigZagHighLow() works?

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hQrGrIg8lY

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https://tlc.thinkorswim.com/center/reference/Tech-Indicators/studies-library/V-Z/ZigZagHighLow.html

I am looking at the ZigZagHighLow() function in ToS. It seems to detect the high and low at trend reversal in a robust way. But I am not following the algorithm it follows. Can anybody help explain the algorithm in a human-friendly way? Thanks.

My question is how the top and bottom points of ZigZags are determined. I am not concerned whether it is repainting or not.

Could you help describe the algorithm in detail? Specifically, the doc says the following. Suppose A, B, C (from early time to later time) are a local low and two local highs, what if both point B and point C are higher than point A by the "certain calculated value" and C is a little higher than B? How to determine if A and B should be connected or A and C should be connected. The doc is not clear about this, but I don't understand how the code works to figure this out.

ZigZagHighLow plot identifies and connects swing points if the difference between their prices exceeds a certain calculated value. This value is equal to the specified percentage of price change plus Average True Range (ATR) multiplied by a factor. This sum can include an additional constant to increase the distance between the swing points.
Click to expand...
 
Last edited by a moderator:
Solution
halcyonguy
hQrGrIg8lY said:
Could you help describe the algorithm in detail? Specifically, the doc says the following. Suppose A, B, C (from early time to later time) are a local low and two local highs, what if both point B and point C are higher than point A by the "certain calculated value" and C is a little higher than B? How to determine if A and B should be connected or A and C should be connected. The doc is not clear about this, but I don't understand how the code works to figure this out.
Click to expand...

there are several IF statements like this,
if GetValue(state, 1) == GetValue(state.init, 0) {
that set several variables.
next, several fold loops look at a range of bars for a value.
from those values, a peak or a valley or n/a is found and plotted, zz.


i...
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hQrGrIg8lY said:
Could you help describe the algorithm in detail? Specifically, the doc says the following. Suppose A, B, C (from early time to later time) are a local low and two local highs, what if both point B and point C are higher than point A by the "certain calculated value" and C is a little higher than B? How to determine if A and B should be connected or A and C should be connected. The doc is not clear about this, but I don't understand how the code works to figure this out.
Click to expand...

there are several IF statements like this,
if GetValue(state, 1) == GetValue(state.init, 0) {
that set several variables.
next, several fold loops look at a range of bars for a value.
from those values, a peak or a valley or n/a is found and plotted, zz.


i added a bubble at the end of the default code, that displays 16 variables, under each bar.
the bubble is yellow when a peak or valley is found.
maybe these numbers will help you understand what is going on.
you may have to zoom in to see all of a bubble.

QJCbklq.jpg



Code: 
# zigzaghl_test

# add bubbles to show var values
# https://usethinkscript.com/threads/how-zigzaghighlow-works.8844/#post-81671


# zigzaghighlow
# TD Ameritrade IP Company, Inc. (c) 2013-2021
#

input priceH = high;
input priceL = low;
input percentageReversal = 5.0;
input absoluteReversal = 0.0;
input atrLength = 5;
input atrReversal = 1.5;
input tickReversal = 0;

Assert(percentageReversal >= 0, "'percentage reversal' must not be negative: " + percentageReversal);
Assert(absoluteReversal >= 0, "'absolute reversal' must not be negative: " + absoluteReversal);
Assert(atrReversal >= 0, "'atr reversal' must not be negative: " + atrReversal);
Assert(tickReversal >= 0, "'ticks' must not be negative: " + tickReversal);
Assert(percentageReversal != 0 or absoluteReversal != 0 or atrReversal != 0 or tickReversal != 0, "Either 'percentage reversal' or 'absolute reversal' or 'atr reversal' or 'tick reversal' must not be zero");

def absReversal;
if (absoluteReversal != 0) {
    absReversal = absoluteReversal;
} else {
    absReversal =  tickReversal * TickSize();
}

def hlPivot;
if (atrReversal != 0) {
    hlPivot = percentageReversal / 100 + WildersAverage(TrueRange(high, close, low), atrLength) / close * atrReversal;
} else {
    hlPivot = percentageReversal / 100;
}
def state = {default init, undefined, uptrend, downtrend};
def maxPriceH;
def minPriceL;
def newMax;
def newMin;
def prevMaxH = GetValue(maxPriceH, 1);
def prevMinL = GetValue(minPriceL, 1);

if GetValue(state, 1) == GetValue(state.init, 0) {
    maxPriceH = priceH;
    minPriceL = priceL;
    newMax = yes;
    newMin = yes;
    state = state.undefined;
} else if GetValue(state, 1) == GetValue(state.undefined, 0) {
    if priceH >= prevMaxH {
        state = state.uptrend;
        maxPriceH = priceH;
        minPriceL = prevMinL;
        newMax = yes;
        newMin = no;
    } else if priceL <= prevMinL {
        state = state.downtrend;
        maxPriceH = prevMaxH;
        minPriceL = priceL;
        newMax = no;
        newMin = yes;
    } else {
        state = state.undefined;
        maxPriceH = prevMaxH;
        minPriceL = prevMinL;
        newMax = no;
        newMin = no;
    }
} else if GetValue(state, 1) == GetValue(state.uptrend, 0) {
    if priceL <= prevMaxH - prevMaxH * hlPivot - absReversal {
        state = state.downtrend;
        maxPriceH = prevMaxH;
        minPriceL = priceL;
        newMax = no;
        newMin = yes;
    } else {
        state = state.uptrend;
        if (priceH >= prevMaxH) {
            maxPriceH = priceH;
            newMax = yes;
        } else {
            maxPriceH = prevMaxH;
            newMax = no;
        }
        minPriceL = prevMinL;
        newMin = no;
    }
} else {
    if priceH >= prevMinL + prevMinL * hlPivot + absReversal {
        state = state.uptrend;
        maxPriceH = priceH;
        minPriceL = prevMinL;
        newMax = yes;
        newMin = no;
    } else {
        state = state.downtrend;
        maxPriceH = prevMaxH;
        newMax = no;
        if (priceL <= prevMinL) {
            minPriceL = priceL;
            newMin = yes;
        } else {
            minPriceL = prevMinL;
            newMin = no;
        }
    }
}

def barNumber = BarNumber();
def barCount = HighestAll(If(IsNaN(priceH), 0, barNumber));
def newState = GetValue(state, 0) != GetValue(state, 1);
def offset = barCount - barNumber + 1;
def highPoint = state == state.uptrend and priceH == maxPriceH;
def lowPoint = state == state.downtrend and priceL == minPriceL;

def lastH;
if highPoint and offset > 1 {
    lastH = fold iH = 1 to offset with tH = priceH while !IsNaN(tH) and !GetValue(newState, -iH) do if GetValue(newMax, -iH) or iH == offset - 1 and GetValue(priceH, -iH) == tH then Double.NaN else tH;
} else {
    lastH = Double.NaN;
}

def lastL;
if lowPoint and offset > 1 {
    lastL = fold iL = 1 to offset with tL = priceL while !IsNaN(tL) and !GetValue(newState, -iL) do if GetValue(newMin, -iL) or iL == offset - 1 and GetValue(priceL, -iL) == tL then Double.NaN else tL;
} else {
    lastL = Double.NaN;
}

plot ZZ;
if barNumber == 1 {
    ZZ = fold iF = 1 to offset with tP = Double.NaN while IsNaN(tP) do if GetValue(state, -iF) == GetValue(state.uptrend, 0) then priceL else if GetValue(state, -iF) == GetValue(state.downtrend, 0) then priceH else Double.NaN;
} else if barNumber == barCount {
    ZZ = if highPoint or state == state.downtrend and priceL > minPriceL then priceH else if lowPoint or state == state.uptrend and priceH < maxPriceH then priceL else Double.NaN;
} else {
    ZZ = if !IsNaN(lastH) then lastH else if !IsNaN(lastL) then lastL else Double.NaN;
}
ZZ.SetDefaultColor(GetColor(1));
ZZ.EnableApproximation();

# ------------------


# add bubble to show var values

addchartbubble(1, low *0.992,
 "bn " + barnumber
 + "\nRev " + absReversal
 + "\nHL " + hlPivot
 + "\nMx " + maxPriceH
 + "\nMn " + minPriceL
 + "\nNmx " + newMax
 + "\nNmn " + newMin
 + "\nPmx" + prevMaxH
 + "\nPmn" + prevMinL
 + "\nState " + State
 + "\nNst " + newState
 + "\nHp " + highPoint
 + "\nLp " + lowPoint
 + "\nLH " + lastH
 + "\nLL" + lastL
 + "\nZZ " + zz
 , (if !isnan(zz) then color.yellow else color.gray), no);

#
 
Last edited:
Upvote 0 Downvote
Solution
halcyonguy said:
there are several IF statements like this,
if GetValue(state, 1) == GetValue(state.init, 0) {
that set several variables.
next, several fold loops look at a range of bars for a value.
from those values, a peak or a valley or n/a is found and plotted, zz.


i added a bubble at the end of the default code, that displays 16 variables, under each bar.
the bubble is yellow when a peak or valley is found.
maybe these numbers will help you understand what is going on.
you may have to zoom in to see all of a bubble.

QJCbklq.jpg



Code: 
# zigzaghl_test

# add bubbles to show var values
# https://usethinkscript.com/threads/how-zigzaghighlow-works.8844/#post-81671


# zigzaghighlow
# TD Ameritrade IP Company, Inc. (c) 2013-2021
#

input priceH = high;
input priceL = low;
input percentageReversal = 5.0;
input absoluteReversal = 0.0;
input atrLength = 5;
input atrReversal = 1.5;
input tickReversal = 0;

Assert(percentageReversal >= 0, "'percentage reversal' must not be negative: " + percentageReversal);
Assert(absoluteReversal >= 0, "'absolute reversal' must not be negative: " + absoluteReversal);
Assert(atrReversal >= 0, "'atr reversal' must not be negative: " + atrReversal);
Assert(tickReversal >= 0, "'ticks' must not be negative: " + tickReversal);
Assert(percentageReversal != 0 or absoluteReversal != 0 or atrReversal != 0 or tickReversal != 0, "Either 'percentage reversal' or 'absolute reversal' or 'atr reversal' or 'tick reversal' must not be zero");

def absReversal;
if (absoluteReversal != 0) {
    absReversal = absoluteReversal;
} else {
    absReversal =  tickReversal * TickSize();
}

def hlPivot;
if (atrReversal != 0) {
    hlPivot = percentageReversal / 100 + WildersAverage(TrueRange(high, close, low), atrLength) / close * atrReversal;
} else {
    hlPivot = percentageReversal / 100;
}
def state = {default init, undefined, uptrend, downtrend};
def maxPriceH;
def minPriceL;
def newMax;
def newMin;
def prevMaxH = GetValue(maxPriceH, 1);
def prevMinL = GetValue(minPriceL, 1);

if GetValue(state, 1) == GetValue(state.init, 0) {
    maxPriceH = priceH;
    minPriceL = priceL;
    newMax = yes;
    newMin = yes;
    state = state.undefined;
} else if GetValue(state, 1) == GetValue(state.undefined, 0) {
    if priceH >= prevMaxH {
        state = state.uptrend;
        maxPriceH = priceH;
        minPriceL = prevMinL;
        newMax = yes;
        newMin = no;
    } else if priceL <= prevMinL {
        state = state.downtrend;
        maxPriceH = prevMaxH;
        minPriceL = priceL;
        newMax = no;
        newMin = yes;
    } else {
        state = state.undefined;
        maxPriceH = prevMaxH;
        minPriceL = prevMinL;
        newMax = no;
        newMin = no;
    }
} else if GetValue(state, 1) == GetValue(state.uptrend, 0) {
    if priceL <= prevMaxH - prevMaxH * hlPivot - absReversal {
        state = state.downtrend;
        maxPriceH = prevMaxH;
        minPriceL = priceL;
        newMax = no;
        newMin = yes;
    } else {
        state = state.uptrend;
        if (priceH >= prevMaxH) {
            maxPriceH = priceH;
            newMax = yes;
        } else {
            maxPriceH = prevMaxH;
            newMax = no;
        }
        minPriceL = prevMinL;
        newMin = no;
    }
} else {
    if priceH >= prevMinL + prevMinL * hlPivot + absReversal {
        state = state.uptrend;
        maxPriceH = priceH;
        minPriceL = prevMinL;
        newMax = yes;
        newMin = no;
    } else {
        state = state.downtrend;
        maxPriceH = prevMaxH;
        newMax = no;
        if (priceL <= prevMinL) {
            minPriceL = priceL;
            newMin = yes;
        } else {
            minPriceL = prevMinL;
            newMin = no;
        }
    }
}

def barNumber = BarNumber();
def barCount = HighestAll(If(IsNaN(priceH), 0, barNumber));
def newState = GetValue(state, 0) != GetValue(state, 1);
def offset = barCount - barNumber + 1;
def highPoint = state == state.uptrend and priceH == maxPriceH;
def lowPoint = state == state.downtrend and priceL == minPriceL;

def lastH;
if highPoint and offset > 1 {
    lastH = fold iH = 1 to offset with tH = priceH while !IsNaN(tH) and !GetValue(newState, -iH) do if GetValue(newMax, -iH) or iH == offset - 1 and GetValue(priceH, -iH) == tH then Double.NaN else tH;
} else {
    lastH = Double.NaN;
}

def lastL;
if lowPoint and offset > 1 {
    lastL = fold iL = 1 to offset with tL = priceL while !IsNaN(tL) and !GetValue(newState, -iL) do if GetValue(newMin, -iL) or iL == offset - 1 and GetValue(priceL, -iL) == tL then Double.NaN else tL;
} else {
    lastL = Double.NaN;
}

plot ZZ;
if barNumber == 1 {
    ZZ = fold iF = 1 to offset with tP = Double.NaN while IsNaN(tP) do if GetValue(state, -iF) == GetValue(state.uptrend, 0) then priceL else if GetValue(state, -iF) == GetValue(state.downtrend, 0) then priceH else Double.NaN;
} else if barNumber == barCount {
    ZZ = if highPoint or state == state.downtrend and priceL > minPriceL then priceH else if lowPoint or state == state.uptrend and priceH < maxPriceH then priceL else Double.NaN;
} else {
    ZZ = if !IsNaN(lastH) then lastH else if !IsNaN(lastL) then lastL else Double.NaN;
}
ZZ.SetDefaultColor(GetColor(1));
ZZ.EnableApproximation();

# ------------------


# add bubble to show var values

addchartbubble(1, low *0.992,
 "bn " + barnumber
 + "\nRev " + absReversal
 + "\nHL " + hlPivot
 + "\nMx " + maxPriceH
 + "\nMn " + minPriceL
 + "\nNmx " + newMax
 + "\nNmn " + newMin
 + "\nPmx" + prevMaxH
 + "\nPmn" + prevMinL
 + "\nState " + State
 + "\nNst " + newState
 + "\nHp " + highPoint
 + "\nLp " + lowPoint
 + "\nLH " + lastH
 + "\nLL" + lastL
 + "\nZZ " + zz
 , (if !isnan(zz) then color.yellow else color.gray), no);

#
Click to expand...
How to just plot the bubble when zz is not nan?

I see if must have both then and else branches. Is there a if that just have then but not else?

https://tlc.thinkorswim.com/center/...als/Basic/Chapter-5---Conditional-Expressions
 
Upvote 0 Downvote
hQrGrIg8lY said:
How to just plot the bubble when zz is not nan?

I see if must have both then and else branches. Is there a if that just have then but not else?

https://tlc.thinkorswim.com/center/...als/Basic/Chapter-5---Conditional-Expressions
Click to expand...

the bubble draws all the time because the first parameter is set to 1 ( true)

if you want a bubble (or label) to show up only when a condition is true, then put the condition formula (or variable) as the first parameter

to have the bubble appear only when the bar is a peak or valley, is when zz has a valid number.
replace 1 with !isnan(zz)
the ! is NOT , the opposite of
this says, when zz is NOT an error , it is true

Code: 
addchartbubble(
!isnan(zz),
 low *0.992,
 "bn " + barnumber
 + "\nRev " + absReversal
 + "\nHL " + hlPivot
 + "\nMx " + maxPriceH
 + "\nMn " + minPriceL
 + "\nNmx " + newMax
 + "\nNmn " + newMin
 + "\nPmx" + prevMaxH
 + "\nPmn" + prevMinL
 + "\nState " + State
 + "\nNst " + newState
 + "\nHp " + highPoint
 + "\nLp " + lowPoint
 + "\nLH " + lastH
 + "\nLL" + lastL
 + "\nZZ " + zz
 , (if !isnan(zz) then color.yellow else color.gray), no);
 
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