private static ZigZagEval GetZigZagEval <TQuote>(ZigZagType type, int index, TQuote q) where TQuote : IQuote
{
ZigZagEval eval = new ZigZagEval()
{
Index = index
};
// consider `type`
switch (type)
{
case ZigZagType.Close:
eval.Low = q.Close;
eval.High = q.Close;
break;
case ZigZagType.HighLow:
eval.Low = q.Low;
eval.High = q.High;
break;
}
return(eval);
}
private static ZigZagEval GetZigZagEval(ZigZagType type, Quote q)
{
ZigZagEval eval = new ZigZagEval()
{
Index = (int)q.Index
};
// consider `type`
switch (type)
{
case ZigZagType.Close:
eval.Low = q.Close;
eval.High = q.Close;
break;
case ZigZagType.HighLow:
eval.Low = q.Low;
eval.High = q.High;
break;
}
return(eval);
}
// 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);
}
private void ZigZag(TreeNode rotationNode, Direction direction, ZigZagType zigZagType)
{
var isZigZag = (zigZagType == ZigZagType.ZigZag);
var newParent = rotationNode
.GetChild((Direction)((1 ^ (int)direction)))
.GetChild((Direction)(zigZagType == ZigZagType.ZigZag ? (int)direction : (1 ^ (int)direction)));
if (rotationNode.Parent != null)
{
if (rotationNode.Value > rotationNode.Parent.Value)
{
//rotation node is a right child
rotationNode.Parent.RightChild = newParent;
}
else
{
rotationNode.Parent.LeftChild = newParent;
}
newParent.Parent = rotationNode.Parent;
}
else
{
//we are currently processing root node
Root = newParent;
newParent.Parent = null;
}
var originalLeftTree = newParent.LeftChild;
var originalRightTree = newParent.RightChild;
if (direction == Direction.Left)
{
newParent.LeftChild = (isZigZag ? rotationNode : rotationNode.RightChild);
newParent.RightChild = isZigZag ? rotationNode.RightChild : newParent.RightChild;
rotationNode.Parent = (isZigZag ? newParent : newParent.LeftChild);
rotationNode.RightChild.Parent = newParent;
if (isZigZag)
{
newParent.RightChild.LeftChild = originalRightTree;
newParent.LeftChild.RightChild = originalLeftTree;
if (originalRightTree != null)
{
originalRightTree.Parent = newParent.RightChild;
}
if (originalLeftTree != null)
{
originalLeftTree.Parent = newParent.LeftChild;
}
}
else
{
rotationNode.RightChild.RightChild = originalLeftTree;
if (originalLeftTree != null)
{
originalLeftTree.Parent = rotationNode.RightChild;
}
rotationNode.RightChild = newParent.LeftChild.LeftChild;
if (newParent.LeftChild.LeftChild != null)
{
newParent.LeftChild.LeftChild.Parent = rotationNode;
}
newParent.LeftChild.LeftChild = rotationNode;
}
}
else
{
newParent.RightChild = (isZigZag ? rotationNode : rotationNode.LeftChild);
newParent.LeftChild = isZigZag ? rotationNode.LeftChild : newParent.LeftChild;
rotationNode.Parent = (isZigZag ? newParent : newParent.RightChild);
rotationNode.LeftChild.Parent = newParent;
if (isZigZag)
{
newParent.LeftChild.RightChild = originalLeftTree;
newParent.RightChild.LeftChild = originalRightTree;
if (originalLeftTree != null)
{
originalLeftTree.Parent = newParent.LeftChild;
}
if (originalRightTree != null)
{
originalRightTree.Parent = newParent.RightChild;
}
}
else
{
rotationNode.LeftChild.LeftChild = originalRightTree;
if (originalRightTree != null)
{
originalRightTree.Parent = rotationNode.LeftChild;
}
rotationNode.LeftChild = newParent.RightChild.RightChild;
if (newParent.RightChild.RightChild != null)
{
newParent.RightChild.RightChild.Parent = rotationNode;
}
newParent.RightChild.RightChild = rotationNode;
}
}
}
