R/ZigZag.R

#
#   TTR: Technical Trading Rules
#
#   Copyright (C) 2007-2013  Joshua M. Ulrich
#
#   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 2 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/>.
#

#'Zig Zag
#'
#'Zig Zag higlights trends by removing price changes smaller than \code{change}
#'and interpolating lines between the extreme points.
#'
#'The Zig Zag is non-predictive.  The purpose of the Zig Zag is filter noise
#'and make chart patterns clearer.  It's more a visual tool than an indicator.
#'
#'@aliases ZigZag zigzag
#'@param HL Object that is coercible to xts or matrix and contains either a
#'High-Low price series, or a Close price series.
#'@param change Minimum price movement, either in dollars or percent (see
#'\code{percent}).
#'@param percent Use percentage or dollar change?
#'@param retrace Is \code{change} a retracement of the previous move, or an
#'absolute change from peak to trough?
#'@param lastExtreme If the extreme price is the same over multiple periods,
#'should the extreme price be the first or last observation?
#'@return A object of the same class as \code{HL} or a vector (if
#'\code{try.xts} fails) containing the Zig Zag indicator.
#'@note If High-Low prices are given, the function calculates the max/min using
#'the high/low prices.  Otherwise the function calculates the max/min of the
#'single series.
#'@section Warning: The last value of the ZigZag indicator is unstable (i.e.
#'unknown) until the turning point actually occurs. Therefore this indicator
#'isn't well-suited for use for systematic trading strategies.
#'@author Joshua Ulrich
#'@references The following site(s) were used to code/document this
#'indicator:\cr
#'\url{https://www.fmlabs.com/reference/default.htm?url=ZigZag.htm}\cr
#'\url{https://www.linnsoft.com/techind/zig-zag-indicator-zig-zzo}\cr
#'\url{https://www.linnsoft.com/techind/zig-zag-oscillator-indicator-zzo}\cr
#'\url{https://www.metastock.com/Customer/Resources/TAAZ/#127}\cr
#'\url{https://school.stockcharts.com/doku.php?id=technical_indicators:zigzag}\cr
#'@keywords ts
#'@examples
#'
#' ## Get Data and Indicator ##
#' data(ttrc)
#' zz <- ZigZag( ttrc[,c("High", "Low")], change=20 )
#'
"ZigZag" <- 
function( HL, change=10, percent=TRUE, retrace=FALSE, lastExtreme=TRUE ) {

  # Zig Zag Indicator
  # Adapted from Alberto Santini's code

  HL <- try.xts(HL, error=as.matrix)
  HL.na <- naCheck(HL,0)
  
  # Calculation if HL series is given
  if(NCOL(HL)==2) {
    high  <- HL[HL.na$nonNA,1]
    low   <- HL[HL.na$nonNA,2]
  } else

  # Calculation if price vector is given
  if(NCOL(HL.na)==1) {
    high  <- HL[HL.na$nonNA]
    low   <- HL[HL.na$nonNA]
  } else

  stop("Price series must be either High-Low, or Univariate")
  
  # Call C routine
  zz <- .Call("ttr_zigzag", as.numeric(high), as.numeric(low),
              as.numeric(change), as.logical(percent), as.logical(retrace),
              as.logical(lastExtreme), PACKAGE = "TTR")
  
  # Interpolate results
  zz <- na.approx(zz, na.rm = FALSE)

  # Prepend NAs from original data
  zz <- c( rep( NA, HL.na$NAs ), zz ) 

  reclass( zz, HL )
}

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TTR documentation built on Sept. 1, 2020, 5:08 p.m.