ZIGZAG autotrading

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07/12/2017 at 5:50 PM #40480 quote
Kenneth Kvistad
Participant

Senior
Anybody who knows if a zigzag system works for autotrading. I used the code in the PRT trading manual and it gives 100%win every time and on every TF?
```
myZigZag = ZigZag[10]
 c11 = (myZigZag > myZigZag[1])
 c12 = (myZigZag < myZigZag[1]) 
IF c11 AND NOT LONGONMARKET THEN  
 BUY 1 SHARES AT MARKET
 ENDIF 
IF c12 AND NOT SHORTONMARKET THEN   
SELLSHORT 1 SHARES AT MARKET 
ENDIF
```
ZIGZAG.jpg
07/12/2017 at 7:35 PM #40496 quote

GraHal
Participant

Master

Haha if only!? Zig Zag ‘repaints’ I think? Also I’m sure the ZigZag is not allowed in Live Trading (due to repaint), but I could be wrong? I’m sure Nicolas will be along shortly to advise.

There is an Indicator in this site Library that works similar to the default PRT Zig Zag but no repaint.

https://www.prorealcode.com/prorealtime-indicators/fractals-zigzag/

And below will save Nicolas repeating himself! 🙂 …

https://www.prorealcode.com/topic/zig-zag-trader-strategy/

07/12/2017 at 8:14 PM #40497 quote

Kenneth Kvistad
Participant

Senior

hehe:) yes I tought it would be too easy.
PRT did not acsept zigzag code it says.

But another question, evan if it repaints. Would it not be possible to trade the repaints manually? I just looked at the PRT code in backtest and saw it would migth be possible?

07/12/2017 at 11:06 PM #40502 quote

GraHal
Participant

Master

Yeah I think I tried it! I try everything! 🙂 … but if I recall correctly you kinda have to predict if it’s going to zig or zag next! HAHAHHAH

I’ll take another look tomorrow and report back.

07/13/2017 at 7:18 AM #40505 quote

Nicolas
Keymaster

Master

Topic moved to ProOrder support forum.

ZigZag is not allowed in automatic trading actually, but it could be with the new data engine to come (information still to confirm).

07/13/2017 at 7:31 AM #40507 quote

Kenneth Kvistad
Participant

Senior

Grahal: I was looking at the brent crude 5min chart yesterday with the zigzag code and setting/adjusted to myzigzag=zigzag[1] so it gave many signals.

Signals came short and long and so on many times without drawing arrows(probacktest buy/short signals) but evan if it did so I think it would be proffitable to just follow it and have a 10pip stop or so everytime.

I will have a look after work today aswell Grahal.

07/13/2017 at 7:07 PM #40577 quote
GraHal
Participant

Master
Hi Ken

I did a few manual trades (with profit) on 1 Min TF using the default PRT Zig Zag. It helps, but you also have to judge market structure etc else you get whip-sawed when price is ranging. When you look back of course Zig Zag appears the perfect Indicator due to repaint.

Then I thought .. what’s the point as Zig Zag can’t be used on a Auto-Trade anyway?

Sooo I spent hours on various instruments and various TFs with Nicolas Fractals Zig Zag (link above in #40496 ) but even with ‘cp’ same value as the Indicator, Bot trades don’t align with markers on the Indicator. See green vertical dotted lines on attached. I’m sure there’s some simple explanation or tweak required? Nicolas may help us when he passes by! 🙂

As you can see from the results attached there is scope for Fractals Zig Zag as a basis for a Bot?
```
//https://www.prorealcode.com/prorealtime-indicators/fractals-zigzag/

DEFPARAM CUMULATEORDERS = FALSE

//---external parameters
cp = cp
 
 
if high[cp] >= highest[2*cp+1](high) then
LH = 1
else
LH = 0
endif
 
if low[cp] <= lowest[2*cp+1](low)  then
LL = -1
else
LL = 0
endif
 
if LL = -1 then
Buy 1 Contract at Market
endif
 
if LH = 1 then
SellShort 1 Contract at Market
endif
 
```
KenKV.jpg
07/13/2017 at 8:06 PM #40581 quote

GraHal
Participant

Master

I also made a Bot out of Nicolas Fractal Screener, results attached and code attached.

Note that rise in equity curve early on and then flattened out. If I optimise over the most recent 10000 bars I can get a good equity rise so a regular / periodic optimisation (every month or so) would result in an upward equity curve over the full 100,000 bars I reckon!?

GraHal

PS Ideal one to do a WF optimisation on … results attached, but doesn’t make a massive difference! 🙂

KenKV2.jpg Fractals-DAX-30M.itf KenKV3.jpg

07/13/2017 at 8:26 PM #40587 quote

GraHal
Participant

Master

When I looked closer, there was a £900 increase on above equity curve using WF optimisation over 5 periods and 100,000 bars.

Attached are WF Opti over the most recent 10,000 bars, note how the variables value change drastically in the last period?

In 1st sample period (Aug 16 – Jan 17) lb = 2, p = 18
In 5th sample period (Jan 17 – Jun 17) lb = 14, p = 2

Anyone (to get discussion going! 🙂 ) … comments appreciated.

GraHal

Kenkv4.jpg

07/13/2017 at 10:46 PM #40599 quote

Kenneth Kvistad
Participant

Senior

I dont know how fractal ziigzag from nicolas works, never tried it(dident have the chance today).

But it seems like the markings are lagging vs the trading order ,I do agree this is a better question for Nicolas:)

When you traded manually today you used 1 min tf. I guess there will be many/ more signals then compare to the 5 min I have checked.(not too much yet).

But a friend of mine used it and gained some cash on it.

He told me that he only used the green arrows and not the other colours that appared as false signals. (Sorry but I cant confirm this myself).

07/15/2017 at 3:05 PM #40726 quote

Kenneth Kvistad
Participant

Senior

The zigzag code shared made way to many orders for my taste.

I was also looking at the initial zigzag code and could not trade too well with it. 🙁

07/16/2017 at 8:15 AM #40755 quote

Nicolas
Keymaster

Master

The fractal zigzag codes is not repainting, so that’s why you get the peak and trough later. Nobody will never know in advance if the market is in a peak formation or in trough one.

GraHal thanked this post
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