private static void DrawZigZagLine(List <ZigZagResult> results, List <Quote> historyList,
ZigZagPoint lastPoint, ZigZagPoint nextPoint)
{
// initialize
List <ZigZagResult> newResults = new List <ZigZagResult>();
List <Quote> period = historyList
.Where(x => x.Index > lastPoint.Index && x.Index <= nextPoint.Index)
.ToList();
decimal increment = (nextPoint.Value - lastPoint.Value) / (nextPoint.Index - lastPoint.Index);
// add new line segment
foreach (Quote h in period)
{
ZigZagResult result = new ZigZagResult
{
Index = (int)h.Index,
Date = h.Date,
ZigZag = (lastPoint.Index != 1 || h.Index == nextPoint.Index) ?
lastPoint.Value + increment * (h.Index - lastPoint.Index) : null,
PointType = ((int)h.Index == nextPoint.Index) ? nextPoint.PointType : null
};
results.Add(result);
}
// reset lastpoint
lastPoint.Index = nextPoint.Index;
lastPoint.Value = nextPoint.Value;
lastPoint.PointType = nextPoint.PointType;
}
private static void DrawZigZagLine <TQuote>(List <ZigZagResult> results, List <TQuote> historyList,
ZigZagPoint lastPoint, ZigZagPoint nextPoint) where TQuote : IQuote
{
decimal increment = (nextPoint.Value - lastPoint.Value) / (nextPoint.Index - lastPoint.Index);
// add new line segment
for (int i = lastPoint.Index; i < nextPoint.Index; i++)
{
TQuote h = historyList[i];
int index = i + 1;
ZigZagResult result = new ZigZagResult
{
Date = h.Date,
ZigZag = (lastPoint.Index != 1 || index == nextPoint.Index) ?
lastPoint.Value + increment * (index - lastPoint.Index) : null,
PointType = (index == nextPoint.Index) ? nextPoint.PointType : null
};
results.Add(result);
}
// reset lastpoint
lastPoint.Index = nextPoint.Index;
lastPoint.Value = nextPoint.Value;
lastPoint.PointType = nextPoint.PointType;
}
private static void DrawRetraceLine(List <ZigZagResult> results, string lastDirection,
ZigZagPoint lastLowPoint, ZigZagPoint lastHighPoint, ZigZagPoint nextPoint)
{
bool isHighLine = (lastDirection == "L");
ZigZagPoint priorPoint = new();
// handle type and reset last point
if (isHighLine)
{
priorPoint.Index = lastHighPoint.Index;
priorPoint.Value = lastHighPoint.Value;
lastHighPoint.Index = nextPoint.Index;
lastHighPoint.Value = nextPoint.Value;
}
else
{
priorPoint.Index = lastLowPoint.Index;
priorPoint.Value = lastLowPoint.Value;
lastLowPoint.Index = nextPoint.Index;
lastLowPoint.Value = nextPoint.Value;
}
// nothing to do if first line
if (priorPoint.Index == 1)
{
return;
}
// handle error case
if (nextPoint.Index == priorPoint.Index)
{
return;
}
// narrow to period
decimal increment = (nextPoint.Value - priorPoint.Value) / (nextPoint.Index - priorPoint.Index);
// add new line segment
//foreach (ZigZagResult r in period)
for (int i = priorPoint.Index - 1; i < nextPoint.Index; i++)
{
ZigZagResult r = results[i];
int index = i + 1;
if (isHighLine)
{
r.RetraceHigh = priorPoint.Value + increment * (index - priorPoint.Index);
}
else
{
r.RetraceLow = priorPoint.Value + increment * (index - priorPoint.Index);
}
}
}
private static void DrawRetraceLine(List <ZigZagResult> results, string lastDirection,
ZigZagPoint lastLowPoint, ZigZagPoint lastHighPoint, ZigZagPoint nextPoint)
{
bool isHighLine = (lastDirection == "L");
ZigZagPoint priorPoint = new ZigZagPoint();
// handle type and reset last point
if (isHighLine)
{
priorPoint.Index = lastHighPoint.Index;
priorPoint.Value = lastHighPoint.Value;
lastHighPoint.Index = nextPoint.Index;
lastHighPoint.Value = nextPoint.Value;
}
else
{
priorPoint.Index = lastLowPoint.Index;
priorPoint.Value = lastLowPoint.Value;
lastLowPoint.Index = nextPoint.Index;
lastLowPoint.Value = nextPoint.Value;
}
// nothing to do if first line
if (priorPoint.Index == 1)
{
return;
}
// narrow to period
List <ZigZagResult> period = results
.Where(x => x.Index >= priorPoint.Index && x.Index <= nextPoint.Index)
.ToList();
decimal increment = (nextPoint.Value - priorPoint.Value) / (nextPoint.Index - priorPoint.Index);
// add new line segment
foreach (ZigZagResult r in period)
{
if (isHighLine)
{
r.RetraceHigh = priorPoint.Value + increment * (r.Index - priorPoint.Index);
}
else
{
r.RetraceLow = priorPoint.Value + increment * (r.Index - priorPoint.Index);
}
}
}
// ZIG ZAG
public static IEnumerable <ZigZagResult> GetZigZag <TQuote>(
IEnumerable <TQuote> history,
ZigZagType type = ZigZagType.Close,
decimal percentChange = 5)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// check parameters
ValidateZigZag(history, percentChange);
// initialize
List <ZigZagResult> results = new List <ZigZagResult>(historyList.Count);
decimal changeThreshold = percentChange / 100m;
TQuote firstQuote = historyList[0];
ZigZagEval eval = GetZigZagEval(type, 1, firstQuote);
ZigZagPoint lastPoint = new ZigZagPoint
{
Index = eval.Index,
Value = firstQuote.Close,
PointType = "U"
};
ZigZagPoint lastHighPoint = new ZigZagPoint
{
Index = eval.Index,
Value = eval.High,
PointType = "H"
};
ZigZagPoint lastLowPoint = new ZigZagPoint
{
Index = eval.Index,
Value = eval.Low,
PointType = "L"
};
int finalPointIndex = historyList.Count;
// roll through history until to find initial trend
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
eval = GetZigZagEval(type, index, h);
decimal changeUp = (eval.High - lastLowPoint.Value) / lastLowPoint.Value;
decimal changeDn = (lastHighPoint.Value - eval.Low) / lastHighPoint.Value;
if (changeUp >= changeThreshold && changeUp > changeDn)
{
lastPoint.Index = lastLowPoint.Index;
lastPoint.Value = lastLowPoint.Value;
lastPoint.PointType = lastLowPoint.PointType;
break;
}
if (changeDn >= changeThreshold && changeDn > changeUp)
{
lastPoint.Index = lastHighPoint.Index;
lastPoint.Value = lastHighPoint.Value;
lastPoint.PointType = lastHighPoint.PointType;
break;
}
}
// add first point to results
ZigZagResult firstResult = new ZigZagResult
{
Date = firstQuote.Date
};
results.Add(firstResult);
// find and draw lines
while (lastPoint.Index < finalPointIndex)
{
ZigZagPoint nextPoint = EvaluateNextPoint(historyList, type, changeThreshold, lastPoint);
string lastDirection = lastPoint.PointType;
// draw line (and reset last point)
DrawZigZagLine(results, historyList, lastPoint, nextPoint);
// draw retrace line (and reset last high/low point)
DrawRetraceLine(results, lastDirection, lastLowPoint, lastHighPoint, nextPoint);
}
return(results);
}
private static ZigZagPoint EvaluateNextPoint <TQuote>(List <TQuote> historyList,
ZigZagType type, decimal changeThreshold, ZigZagPoint lastPoint) where TQuote : IQuote
{
// initialize
bool trendUp = (lastPoint.PointType == "L");
decimal?change = 0;
ZigZagPoint extremePoint = new ZigZagPoint
{
Index = lastPoint.Index,
Value = lastPoint.Value,
PointType = trendUp ? "H" : "L"
};
// find extreme point before reversal point
for (int i = lastPoint.Index; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
ZigZagEval eval = GetZigZagEval(type, index, h);
// reset extreme point
switch (trendUp)
{
case true:
if (eval.High >= extremePoint.Value)
{
extremePoint.Index = eval.Index;
extremePoint.Value = eval.High;
}
else
{
change = (extremePoint.Value == 0) ? null
: (extremePoint.Value - eval.Low) / extremePoint.Value;
}
break;
case false:
if (eval.Low <= extremePoint.Value)
{
extremePoint.Index = eval.Index;
extremePoint.Value = eval.Low;
}
else
{
change = (extremePoint.Value == 0) ? null
: (eval.High - extremePoint.Value) / extremePoint.Value;
}
break;
}
// return extreme point when deviation threshold met
if (change >= changeThreshold)
{
return(extremePoint);
}
}
// handle last unconfirmed point
int finalPointIndex = historyList.Count;
if (extremePoint.Index == finalPointIndex && change < changeThreshold)
{
extremePoint.PointType = null;
}
return(extremePoint);
}
// ZIG ZAG
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <ZigZagResult> GetZigZag <TQuote>(
IEnumerable <TQuote> history,
ZigZagType type = ZigZagType.Close,
decimal percentChange = 5)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateZigZag(history, percentChange);
// initialize
List <ZigZagResult> results = new(historyList.Count);
decimal changeThreshold = percentChange / 100m;
TQuote firstQuote = historyList[0];
ZigZagEval eval = GetZigZagEval(type, 1, firstQuote);
ZigZagPoint lastPoint = new()
{
Index = eval.Index,
Value = firstQuote.Close,
PointType = "U"
};
ZigZagPoint lastHighPoint = new()
{
Index = eval.Index,
Value = eval.High,
PointType = "H"
};
ZigZagPoint lastLowPoint = new()
{
Index = eval.Index,
Value = eval.Low,
PointType = "L"
};
int finalPointIndex = historyList.Count;
// roll through history, to find initial trend
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
eval = GetZigZagEval(type, index, h);
decimal?changeUp = (lastLowPoint.Value == 0) ? null
: (eval.High - lastLowPoint.Value) / lastLowPoint.Value;
decimal?changeDn = (lastHighPoint.Value == 0) ? null
: (lastHighPoint.Value - eval.Low) / lastHighPoint.Value;
if (changeUp >= changeThreshold && changeUp > changeDn)
{
lastPoint.Index = lastLowPoint.Index;
lastPoint.Value = lastLowPoint.Value;
lastPoint.PointType = lastLowPoint.PointType;
break;
}
if (changeDn >= changeThreshold && changeDn > changeUp)
{
lastPoint.Index = lastHighPoint.Index;
lastPoint.Value = lastHighPoint.Value;
lastPoint.PointType = lastHighPoint.PointType;
break;
}
}
// add first point to results
ZigZagResult firstResult = new()
{
Date = firstQuote.Date
};
results.Add(firstResult);
// find and draw lines
while (lastPoint.Index < finalPointIndex)
{
ZigZagPoint nextPoint = EvaluateNextPoint(historyList, type, changeThreshold, lastPoint);
string lastDirection = lastPoint.PointType;
// draw line (and reset last point)
DrawZigZagLine(results, historyList, lastPoint, nextPoint);
// draw retrace line (and reset last high/low point)
DrawRetraceLine(results, lastDirection, lastLowPoint, lastHighPoint, nextPoint);
}
return(results);
}
private static ZigZagPoint EvaluateNextPoint <TQuote>(
List <TQuote> historyList,
ZigZagType type, decimal changeThreshold, ZigZagPoint lastPoint) where TQuote : IQuote
{
// initialize
bool trendUp = (lastPoint.PointType == "L");
decimal?change = 0;
ZigZagPoint extremePoint = new()
{
Index = lastPoint.Index,
Value = lastPoint.Value,
PointType = trendUp ? "H" : "L"
};
// find extreme point before reversal point
for (int i = lastPoint.Index; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
ZigZagEval eval = GetZigZagEval(type, index, h);
// reset extreme point
if (trendUp)
{
if (eval.High >= extremePoint.Value)
{
extremePoint.Index = eval.Index;
extremePoint.Value = eval.High;
}
else
{
change = (extremePoint.Value == 0) ? null
: (extremePoint.Value - eval.Low) / extremePoint.Value;
}
}
else
{
if (eval.Low <= extremePoint.Value)
{
extremePoint.Index = eval.Index;
extremePoint.Value = eval.Low;
}
else
{
change = (extremePoint.Value == 0) ? null
: (eval.High - extremePoint.Value) / extremePoint.Value;
}
}
// return extreme point when deviation threshold met
if (change >= changeThreshold)
{
return(extremePoint);
}
}
// handle last unconfirmed point
int finalPointIndex = historyList.Count;
if (extremePoint.Index == finalPointIndex && change < changeThreshold)
{
extremePoint.PointType = null;
}
return(extremePoint);
}
private static void DrawZigZagLine <TQuote>(List <ZigZagResult> results, List <TQuote> historyList,
private static ZigZagPoint EvaluateNextPoint(List <Quote> historyList,
ZigZagType type, decimal changeThreshold, ZigZagPoint lastPoint)
{
// initialize
bool trendUp = (lastPoint.PointType == "L");
decimal change = 0;
ZigZagEval eval = new ZigZagEval();
ZigZagPoint extremePoint = new ZigZagPoint
{
Index = lastPoint.Index,
Value = lastPoint.Value,
PointType = trendUp ? "H" : "L"
};
List <Quote> period = historyList
.Where(x => x.Index > lastPoint.Index)
.ToList();
// find extreme point before reversal point
foreach (Quote h in period)
{
eval = GetZigZagEval(type, h);
// reset extreme point
switch (trendUp)
{
case true:
if (eval.High >= extremePoint.Value)
{
extremePoint.Index = eval.Index;
extremePoint.Value = eval.High;
}
else
{
change = (extremePoint.Value - eval.Low) / extremePoint.Value;
}
break;
case false:
if (eval.Low <= extremePoint.Value)
{
extremePoint.Index = eval.Index;
extremePoint.Value = eval.Low;
}
else
{
change = (eval.High - extremePoint.Value) / extremePoint.Value;
}
break;
}
// return extreme point when deviation threshold met
if (change >= changeThreshold)
{
return(extremePoint);
}
}
// handle last unconfirmed point
int finalPointIndex = historyList.Select(x => (int)x.Index).Max();
if (extremePoint.Index == finalPointIndex && change < changeThreshold)
{
extremePoint.PointType = null;
}
return(extremePoint);
}