This is an adaptive ZigZag based on modification of HZZ indicator (original source code is available in this article ).
Most important changes in this version:
- two additional indicator buffers added for zigzag evolution monitoring - they show cross signs at points where zigzag direction first changes;
- zigzag range (H) autodetection on day by day basis;
- time-dependent adjustment of zigzag range.
Parameters:
- H - zigzag range in points; this parameter is similar to original HZZ, but it can take 0 value - in this case HZZM calculates current daily range of price and use it as H (it changes on every bar); default value - 0;
- MinBars - number of bars to process; default value - 0 means all bars;
- SaveData - enable/disable output of zigzag data to a file; default value - false ;
- Original - enable/disable original algorithm of HZZ; default value - false , that is the modified version is active; when it is true, the result is the same as original HZZ;
When Original is false , HZZM works in adaptive mode. It adjusts H according to number of bars passed since the last extremum. The larger the distance, the larger correction for H is made - H is decreased in a non-linear way. This means that longer (in time) zigzag edges can alter direction in shorter price move than usual.
The combination of H equal to 0 and the on-the-fly range adjustment produce an effect of adaptive processing similar to using several zigzags with different settings, when every set is suitable for specific market conditions.
