private static void DrawRetraceLine(
List <ZigZagResult> results,
string lastDirection,
ZigZagPoint lastLowPoint,
ZigZagPoint lastHighPoint,
ZigZagPoint nextPoint)
{
ZigZagPoint priorPoint = new();
// handle type and reset last point
if (lastDirection == "L")
{
priorPoint.Index = lastHighPoint.Index;
priorPoint.Value = lastHighPoint.Value;
lastHighPoint.Index = nextPoint.Index;
lastHighPoint.Value = nextPoint.Value;
}
// low line
else if (lastDirection == "H")
{
priorPoint.Index = lastLowPoint.Index;
priorPoint.Value = lastLowPoint.Value;
lastLowPoint.Index = nextPoint.Index;
lastLowPoint.Value = nextPoint.Value;
}
// nothing to draw cases
if (
lastDirection == "U" || // first line skipped, single line
priorPoint.Index == 1 || // first line skipped, normal case
nextPoint.Index == priorPoint.Index) // no span
{
return;
}
// narrow to period
decimal increment = (nextPoint.Value - priorPoint.Value) / (nextPoint.Index - priorPoint.Index);
// add new line segment
for (int i = priorPoint.Index - 1; i < nextPoint.Index; i++)
{
ZigZagResult r = results[i];
int index = i + 1;
// high line
if (lastDirection == "L")
{
r.RetraceHigh = priorPoint.Value + (increment * (index - priorPoint.Index));
}
// low line
else if (lastDirection == "H")
{
r.RetraceLow = priorPoint.Value + (increment * (index - priorPoint.Index));
}
}
}
private static void DrawZigZagLine <TQuote>(List <ZigZagResult> results, List <TQuote> quotesList,
ZigZagPoint lastPoint, ZigZagPoint nextPoint)
where TQuote : IQuote
{
if (nextPoint.Index != lastPoint.Index)
{
decimal increment = (nextPoint.Value - lastPoint.Value) / (nextPoint.Index - lastPoint.Index);
// add new line segment
for (int i = lastPoint.Index; i < nextPoint.Index; i++)
{
TQuote q = quotesList[i];
int index = i + 1;
ZigZagResult result = new()
{
Date = q.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;
}
// ZIG ZAG
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <ZigZagResult> GetZigZag <TQuote>(
this IEnumerable <TQuote> quotes,
EndType endType = EndType.Close,
decimal percentChange = 5)
where TQuote : IQuote
{
// sort quotes
List <TQuote> quotesList = quotes.SortToList();
// check parameter arguments
ValidateZigZag(percentChange);
// initialize
int length = quotesList.Count;
List <ZigZagResult> results = new(length);
TQuote q0;
if (length == 0)
{
return(results);
}
else
{
q0 = quotesList[0];
}
ZigZagEval eval = GetZigZagEval(endType, 1, q0);
decimal changeThreshold = percentChange / 100m;
ZigZagPoint lastPoint = new()
{
Index = eval.Index,
Value = q0.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 = length;
// roll through quotes, to find initial trend
for (int i = 0; i < length; i++)
{
TQuote q = quotesList[i];
int index = i + 1;
eval = GetZigZagEval(endType, index, q);
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 = q0.Date
};
results.Add(firstResult);
// find and draw lines
while (lastPoint.Index < finalPointIndex)
{
ZigZagPoint nextPoint = EvaluateNextPoint(quotesList, endType, changeThreshold, lastPoint);
string lastDirection = lastPoint.PointType;
// draw line (and reset last point)
DrawZigZagLine(results, quotesList, lastPoint, nextPoint);
// draw retrace line (and reset last high/low point)
DrawRetraceLine(results, lastDirection, lastLowPoint, lastHighPoint, nextPoint);
}
return(results);
}
// internals
private static ZigZagPoint EvaluateNextPoint <TQuote>(
List <TQuote> quotesList,
EndType endType,
decimal changeThreshold,
ZigZagPoint lastPoint)
where TQuote : IQuote
{
// initialize
bool trendUp = lastPoint.PointType == "L";
// candidate
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 < quotesList.Count; i++)
{
TQuote q = quotesList[i];
int index = i + 1;
decimal?change;
ZigZagEval eval = GetZigZagEval(endType, index, q);
// reset extreme point
if (trendUp)
{
if (eval.High >= extremePoint.Value)
{
extremePoint.Index = eval.Index;
extremePoint.Value = eval.High;
change = 0;
}
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;
change = 0;
}
else
{
change = (extremePoint.Value == 0) ? null
: (eval.High - extremePoint.Value) / extremePoint.Value;
}
}
// return extreme point when reversion threshold met
if (change >= changeThreshold)
{
return(extremePoint);
}
// add last unconfirmed end point
if (index == quotesList.Count)
{
extremePoint.Index = index;
extremePoint.Value = trendUp ? eval.High : eval.Low;
extremePoint.PointType = null;
}
}
return(extremePoint);
}
private static void DrawZigZagLine <TQuote>(List <ZigZagResult> results, List <TQuote> quotesList,
