NonLagZigZag_v2[1]-2
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The NonLagZigZag_v2 script is a specialized technical analysis tool designed to identify significant structural shifts in market price action while minimizing the common "lag" (delay) associated with traditional moving averages and trend indicators. It combines sophisticated mathematical smoothing with dynamic filters to create a cleaner visual representation of market highs and lows.
Core Logic and Mechanism
The logic operates through a multi-layered process to determine where a price peak or valley actually occurs:
1. Advanced Smoothing (NonLag Moving Average)
Instead of using a standard moving average, which can react slowly to new data, the script utilizes a "NonLag" calculation. It applies a weighted mathematical formula—incorporating cosine functions and specific coefficients—to calculate a smooth average of the price. This allows the indicator to follow the price curve more closely than a typical moving average while still filtering out minor market "noise."
2. Dynamic Volatility Filtering
One of the most critical components of this script is its ability to distinguish between a meaningful trend change and minor price fluctuations. It does this by:
- Calculating Deviation: The script constantly measures the difference between consecutive points on its smoothed average.
- Standard Deviation Analysis: It calculates the standard deviation of these differences over a specific period.
- The Filter Barrier: By multiplying the standard deviation by a user-defined percentage, the script establishes a "filter." If the price movement is smaller than this dynamic threshold, the indicator ignores it as noise. This ensures that a new trend or ZigZag point is only registered when the market makes a significant move.
3. Trend Detection and Directional Switching
The script identifies the current market direction (Up or Down) by checking if the price movement exceeds the "Filter" mentioned above. Once a breakout occurs:
- Trend Change: The logic detects the exact moment the trend flips from positive to negative (or vice versa).
- Extreme Point Identification: When a change is detected, the script looks backward to identify the highest point (peak) or lowest point (valley) reached during that specific move.
4. Visual Mapping (The ZigZag Effect)
Finally, the script plots these identified extremes on your chart as a continuous line (ZigZag). Unlike basic ZigZag indicators that might jump erratically, this version ensures that every "turn" in the line is backed by the mathematical confirmation of the NonLag Average and the Dynamic Filter.
Summary for the User
In simple terms, this tool acts like a "smart filter" for market trends. It watches the price and calculates a smooth path; it then ignores all the small wiggles and only draws a new point on your chart when the price moves significantly enough to prove a genuine change in direction. This results in a cleaner, more reliable visual of the market's actual structure compared to standard tools.
//+------------------------------------------------------------------+
//| NonLagZigZag_v2.mq4 |
//| Copyright © 2006, TrendLaboratory |
//| http://finance.groups.yahoo.com/group/TrendLaboratory |
//| E-mail: igorad2003@yahoo.co.uk |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, TrendLaboratory"
#property link "http://finance.groups.yahoo.com/group/TrendLaboratory"
//----
#property indicator_chart_window
#property indicator_buffers 1
//----
#property indicator_color1 Gold
#property indicator_width1 2
//---- input parameters
extern int Price =0; //Apply to Price(0-Close;1-Open;2-High;3-Low;4-Median price;5-Typical price;6-Weighted Close)
extern int Length =100; //Period of NonLagMA
extern double PctFilter =2; //Dynamic filter in decimals
//----
double ZZBuffer[];
double MABuffer[];
double trend[];
double Del[];
double AvgDel[];
//----
int ilow, ihigh, nlow, nhigh, prevnhigh,prevnlow, BarsBack;
double alfa[];
datetime lotime,hitime;
int i, Phase, Len, Cycle=4, Back=0;
double Coeff, beta, t, Sum, Weight, g;
double pi=3.1415926535;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
IndicatorBuffers(5);
SetIndexStyle(0,DRAW_SECTION);
SetIndexBuffer(0,ZZBuffer);
SetIndexBuffer(1,MABuffer);
SetIndexBuffer(2,trend);
SetIndexBuffer(3,Del);
SetIndexBuffer(4,AvgDel);
string short_name;
//---- indicator line
IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));
//---- name for DataWindow and indicator subwindow label
short_name="NonLagZigZag("+Length+")";
IndicatorShortName(short_name);
SetIndexLabel(0,"NonLagZigZag");
//----
SetIndexEmptyValue(0,0.0);
SetIndexDrawBegin(0,Length*Cycle+Length);
//----
Coeff= 3*pi;
Phase=Length-1;
Len=Length*Cycle + Phase;
ArrayResize(alfa,Len);
Weight=0;
for(i=0;i<Len-1;i++)
{
if (i<=Phase-1) t=1.0*i/(Phase-1);
else t=1.0 + (i-Phase+1)*(2.0*Cycle-1.0)/(Cycle*Length-1.0);
beta=MathCos(pi*t);
g=1.0/(Coeff*t+1);
if (t<=0.5)g=1;
alfa[i]=g * beta;
Weight+=alfa[i];
}
//----
return(0);
}
//+------------------------------------------------------------------+
//| NonLagZigZag_v2 |
//+------------------------------------------------------------------+
int start()
{
int i,shift, counted_bars=IndicatorCounted(),limit;
double price,smin,smax;
if(counted_bars > 0) limit=Bars-counted_bars;
if(counted_bars < 0) return(0);
if(counted_bars ==0) limit=Bars-1;
if(counted_bars < 1)
{
for(i=0;i<Bars-1;i++)
ZZBuffer[i]=0;
for(i=1;i<Len;i++)
MABuffer[Bars-i]=iMA(NULL,0,1,0,MODE_SMA,Price,Bars-i);
}
//..................................................................
//....... Ýòî âcòàâëåííûé êîä äëÿ âèçóàëüíîãî òåñòèðîâàíèÿ èíäèêàòîðà
/**/ int start,start_j;
/**/start_j=ObjectGet("start",OBJPROP_TIME1);
/**/if(GetLastError()==0) start=iBarShift(NULL,0,start_j,False); else start=0;
//................êîíåö êîäà
//.....................................................................
//for(shift=limit;shift>=0;shift--)
for(shift=limit;shift>=start;shift--)
{
Sum=0;
for(i=0;i<=Len-1;i++)
{
price=iMA(NULL,0,1,0,3,Price,i+shift);
Sum+=alfa[i]*price;
}
if (Weight > 0) MABuffer[shift]=Sum/Weight;
Del[shift]=MathAbs(MABuffer[shift] - MABuffer[shift+1]);
//----
double sumdel=0;
for(i=0;i<=Length-1;i++) sumdel+=Del[shift+i];
AvgDel[shift]=sumdel/Length;
//----
double sumpow=0;
for(i=0;i<=Length-1;i++) sumpow+=MathPow(Del[shift+i]-AvgDel[shift+i],2);
double StdDev=MathSqrt(sumpow/Length);
double Filter=PctFilter * StdDev;
if (Filter < Point) Filter=Point;
if(MathAbs(MABuffer[shift]-MABuffer[shift+1]) < Filter)MABuffer[shift]=MABuffer[shift+1];
//----
trend[shift]=trend[shift+1];
if (MABuffer[shift]-MABuffer[shift+1] > Filter) trend[shift]= 1;
if (MABuffer[shift+1]-MABuffer[shift] > Filter) trend[shift]=-1;
if(trend[shift]>0)
{
if(trend[shift]!=trend[shift+1])
{
ilow=LowestBar(iBarShift(NULL,0,hitime,FALSE)-shift,shift);
lotime=Time[ilow];
ZZBuffer[ilow]=Low[ilow];
}
else
if (shift==0)
{
int hilen=iBarShift(NULL,0,lotime,FALSE);
nhigh=HighestBar(hilen,0);
ZZBuffer[nhigh]=High[nhigh];
if (nhigh== 0) for(i=hilen-1;i>=1;i--) ZZBuffer[i]=0;
if (nhigh > 0) for(i=nhigh-1;i>=0;i--) ZZBuffer[i]=0;
}
}
if (trend[shift]<0)
{
if(trend[shift]!=trend[shift+1])
{
ihigh=HighestBar(iBarShift(NULL,0,lotime,FALSE)-shift,shift);
hitime=Time[ihigh];
ZZBuffer[ihigh]=High[ihigh];
}
else
if (shift==0)
{
int lolen=iBarShift(NULL,0,hitime,FALSE);
nlow=LowestBar(lolen,0);
ZZBuffer[nlow]=Low[nlow];
if (nlow==0) for(i=lolen-1;i>=1;i--) ZZBuffer[i]=0;
if (nlow >0) for(i=nlow-1;i>=0;i--) ZZBuffer[i]=0;
}
}
}
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int LowestBar(int len,int k)
{
double min=10000000;
int lobar;
//----
for(int i=k+len-1;i>=k;i--)
if(Low[i] < min) {min=Low[i]; lobar=i;}
if(len<=0) lobar=k;
return(lobar);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int HighestBar(int len,int k)
{
double max=-10000000;
int hibar;
for(int i=k+len-1;i>=k;i--)
if(High[i] > max) {max=High[i]; hibar=i;}
if(len<=0) hibar=k;
return(hibar);
}
//+------------------------------------------------------------------+
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