ZigZag Strategy Suite for AmiBroker Package Description

Analyze Trading or Fading the ZigZags with AmiBroker
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progster
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ZigZag Strategy Suite for AmiBroker Package Description

Postby progster » Mon Oct 05, 2009 9:27 pm

Package: ZigZag Strategy Suite for AmiBroker

The market Zigs and Zags, and this is a perennial source of fascination for traders. Does movement predict more movement? Should movement be faded? These are fundamental questions of tendency for any market and timeframe which can only be answered by testing.

CodeForTraders is pleased to offer the ZigZag Strategy Suite for AmiBroker as a low-cost, pre-written, powerful, well-organized place from which to begin (or extend) your AB journey.

What It Is

The ZigZag Strategy Suite for AmiBroker is 2 AFL formulas which together implement a collection of analysis, visualization, presentation, and optimization techniques to create a complete solution for investigating ZigZag trading.

What It Looks Like

Observe the price bars with the overlayed ZigZag lines in the page below. In this example, the strategy has been configured to enter with the latest movement of at least 2% in either direction. (Calculations are retrospective for analysis, not intended for real-time trading.)

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Notice how the bars have been colored green during long trades and red during short trades (they will be white when no trades are in progress). Trade entry signal bars are indicated by the green and red arrows. All signals (buy, sell, short, cover) may be seen in the (optional) histogram display at the bottom of the price pane.

These pictures show the extensive set of parameters made available in the main formula (the one in the price pane), which is designed to provide easy control of both interactive visualization, and automatic optimization as desired.

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Note the lines that start with "+++++++ ". These indicate blocks of functionality which may be switched on and off as desired for backtests and optimizations.

The lines that end with " ---------- " are individual parameters which may be set to either be optimized or "locked down" from right here in the Parameter Dialog.

Read on to learn about the many other features provided.

For insight into the flexibility and convenience of the ZigZag Suite, please view this video, which introduces the technology in use:

Video: ZZ Strategy Suite - Visual Introduction

What It Does

The ZigZag Strategy Suite Package uses AmiBroker Formula Language (AFL) to implement a long list of desirable features. Each section of code is clearly marked and commented.

Included you will find:

Code for adding custom metric(s)
Code for AA window display of non-optimized parameters
Code for optimizer choice and setup
Code for single contract testing
Code for trading on the Open of the next bar after a Signal.
Code for technical analysis calculation(s).
Code for trading long-only, short-only, or in both directions
Code for trading signals in the opposite direction (fade the ZZ)
Code for a choice of trade signal filters
Code for limiting trading to an intraday time window
Code for optimizable StopLoss, ProfitTgt, and TrailingStop
Code for determining and displaying exit reason
Code for histogram visualization of buy/sell/short/cover arrays.
Code for passing NetPft to cooperating display indicator in another chart pane.
Code for Displaying signals as an Exploration
Code for on-chart plotting of price, signal arrows, and trade duration/direction bar coloring
Code for creating and displaying informative title text
Code for display of filters

These features are provided in the context of a Zig-Zag indicator-based trading model:

  • Trade with new legs of market movement
  • Trade against new legs of market movement
For optimization, there are 4 major numeric dimensions:

  • ZigZag_PctChg
  • StopLossPct
  • PftTgtPct
  • TrailingStopPct
along with various other useful switches and choices.

The code uses the ZigZag as the provided calculation and provides built-in display of the relevant pivot points and ZZ legs per your ZigZag_PctChg setting.

Innovations

This strategy has been specially designed to allow wide-scope or narrow-scope optimization to be configured directly from the AB Parameters Dialog. This means optimization across any desired combination of the major numeric dimensions based strictly on Dialog settings without requiring code edits.

Also, custom metrics are used to ensure that non-optimized (i.e. locked-down) major dimensions are displayed in the AmiBroker Automatic Analysis window optimization results. This ensures that the report more thoroughly reflects the configuration of parameters used to generate it (which is not normally true by default).

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(Note how the "locked down" Mode, Filter, etc. parameters remain unchanging throughout the optimization, yet are still part of the final display. Without them, you wouldn't know everything important about what created the performance.)

For a visual explanation of the flexible optimization implementation, please see this video, originally prepared for the RSI Strategy Suite:

Video: RSI Strategy Suite - Flexible Optimization w/o Code Edits

You may choose to operate the code with any of the built-in AmiBroker non-exhaustive optimizers (CMAE, Tribes, SPSO). Again, no code edits required for this!

The goal of this code is to advance the new user past months of study and experimentation directly to feature-rich, working code that is both

  • immediately useful as-is
  • easily repurposed and extended
Are you a sophisticated AB user/programmer who has already written similar capabilities for yourself?

If not, CFT believes our ZigZag Strategy Suite is the most feature-rich, flexible, and easy-to-use code for the study of ZigZags available anywhere.

What You Get

  • The primary ZigZag-based trading formula for backtesting/optimization/display
  • Cooperating Net-Profit formula for separate pane display
  • A .chart file for creating a window similar to the one shown above
  • Customer Support for initial installation.

This package is distributed as fully-disclosed AFL. You will be able to modify and extend it as desired, but you may not share it with non-licensees (just send them here instead!).

What It Costs

Only $150 for a single, permanent personal-use license. Institutional and multi-person licenses are also available (contact: questions@CodeForTraders.com).

How You Get It

Visit the product page then hit the 'Add to Cart' button.
The package will be emailed to you after your PayPal payment is processed.
Please be aware of the caveats before you order. Thanks!

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