Hi, everyone.
This is a MQL style Zigzag indicator written for live trading. It has 2 params: first is retrace - retracement in percent, second one is minbars - how many bars indicator will skip after last extremum before searching opposite extremum. The logic of indicator is quite complex, but it works. )
TODO: Handle the outer bar. It is a bar witch values being higher and lower at the same time than last extremum value.
If you find any bug, please, let me know.
##+------------------------------------------------------------------+
## Copyright (C) 2019 Nikolai Khramkov
##
## This program is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## This program is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
## You should have received a copy of the GNU General Public License
## along with this program. If not, see <http://www.gnu.org/licenses/>.
##+------------------------------------------------------------------+
import backtrader as bt
class ZigZag(bt.ind.PeriodN):
'''
ZigZag indicator.
'''
lines = (
'trend',
'last_high',
'last_low',
'zigzag',
)
plotinfo = dict(
subplot=False,
plotlinelabels=True, plotlinevalues=True, plotvaluetags=True,
)
plotlines = dict(
trend=dict(_plotskip=True),
last_high=dict(color='green', ls='-', _plotskip=True),
last_low=dict(color='black', ls='-', _plotskip=True),
zigzag=dict(_name='zigzag', color='blue', ls='-', _skipnan=True),
)
params = (
('period', 2),
('retrace', 0.05), # in percent
('minbars', 2), # number of bars to skip after the trend change
)
def __init__(self):
super(ZigZag, self).__init__()
assert self.p.retrace > 0, 'Retracement should be above zero.'
assert self.p.minbars >= 0, 'Minimal bars should be >= zero.'
self.ret = self.data.close * self.p.retrace / 100
self.minbars = self.p.minbars
self.count_bars = 0
self.last_pivot_t = 0
self.last_pivot_ago = 0
def prenext(self):
self.l.trend[0] = 0
self.l.last_high[0] = self.data.high[0]
self.l.last_low[0] = self.data.low[0]
self.l.zigzag[0] = (self.data.high[0] + self.data.low[0]) / 2
def next(self):
curr_idx = len(self.data)
self.ret = self.data.close[0] * self.p.retrace / 100
self.last_pivot_ago = curr_idx - self.last_pivot_t
self.l.trend[0] = self.l.trend[-1]
self.l.last_high[0] = self.l.last_high[-1]
self.l.last_low[0] = self.l.last_low[-1]
self.l.zigzag[0] = float('nan')
# Search for trend
if self.l.trend[-1] == 0:
if self.l.last_low[0] < self.data.low[0] and self.l.last_high[0] < self.data.high[0]:
self.l.trend[0] = 1
self.l.last_high[0] = self.data.high[0]
self.last_pivot_t = curr_idx
elif self.l.last_low[0] > self.data.low[0] and self.l.last_high[0] > self.data.high[0]:
self.l.trend[0] = -1
self.l.last_low[0] = self.data.low[0]
self.last_pivot_t = curr_idx
# Up trend
elif self.l.trend[-1] == 1:
if self.data.high[0] > self.l.last_high[-1]:
self.l.last_high[0] = self.data.high[0]
self.count_bars = self.minbars
self.last_pivot_t = curr_idx
elif self.count_bars <= 0 and self.l.last_high[0] - self.data.low[0] > self.ret and self.data.high[0] < self.l.last_high[0]:
self.l.trend[0] = -1
self.count_bars = self.minbars
self.l.last_low[0] = self.data.low[0]
self.l.zigzag[-self.last_pivot_ago] = self.l.last_high[0]
self.last_pivot_t = curr_idx
elif self.count_bars < self.minbars and self.data.close[0] < self.l.last_low[0]:
self.l.trend[0] = -1
self.count_bars = self.minbars
self.l.last_low[0] = self.data.low[0]
self.l.zigzag[-self.last_pivot_ago] = self.l.last_high[0]
self.last_pivot_t = curr_idx
# Down trend
elif self.l.trend[-1] == -1:
if self.data.low[0] < self.l.last_low[-1]:
self.l.last_low[0] = self.data.low[0]
self.count_bars = self.minbars
self.last_pivot_t = curr_idx
elif self.count_bars <= 0 and self.data.high[0] - self.l.last_low[0] > self.ret and self.data.low[0] > self.l.last_low[0]:
self.l.trend[0] = 1
self.count_bars = self.minbars
self.l.last_high[0] = self.data.high[0]
self.l.zigzag[-self.last_pivot_ago] = self.l.last_low[0]
self.last_pivot_t = curr_idx
elif self.count_bars < self.minbars and self.data.close[0] > self.l.last_high[-1]:
self.l.trend[0] = 1
self.count_bars = self.minbars
self.l.last_high[0] = self.data.high[0]
self.l.zigzag[-self.last_pivot_ago] = self.l.last_low[0]
self.last_pivot_t = curr_idx
# Decrease minbars counter
self.count_bars -= 1
