Zig Zag Statistics

Statistics indicators

After the ZigZag engine has established the location of each turning point on the chart, a number of indicators or statistical studies will be built on top of the returned resultant ZigZag legs. From these returned legs, various statistics will be applied, calculated and recorded for use in future analysis.

The measures of these legs between the peaks and valleys will be used in such studies as: horizontal distances (in bars), vertical distances (change in value), vertical distances (percent change in value), and the slope between two TPs or a TP and the current bar (expressed in degrees).

The statistical results will be based on various time frames. This as a rule of thumb will give a better snap shot into price structure and the resultant statistics gathered from a faster time frame and fitting into a larger and slower time frame. The effectiveness of this statistical research used in a trading system will be influenced by choosing the appropriate time of day or trading window and to compare values to and how this trading window or time session fits within a larger time session such as the weekly or monthly cycles. 

The following is a list of the statistics to calculate as they are applied to these measured ZigZag or Fractal legs:

ZigZag Measure Indicators

ZZ_bars

ZZ_change

ZZ_percent

ZZ_slope

ZigZag Mean Indicators

PV: Peak to Valley

VP: Valley to Peak

ZZ_PV_mean_bars

ZZ_VP_mean_bars

ZZ_PV_mean_change

ZZ_VP_mean_change

ZZ_PV_mean_percent

ZZ_VP_mean_percent

ZZ_PV_mean_slope

ZZ_VP_mean_slope

ZigZag Standard Deviation Indicators

PV: Peak to Valley

VP: Valley to Peak

ZZ_PV_sd_bars

ZZ_VP_sd_bars

ZZ_PV_sd_change

ZZ_VP_sd_change

ZZ_PV_sd_percent

ZZ_VP_sd_percent

ZZ_PV_sd_slope

ZZ_VP_sd_slope

ZigZag Median Indicators

PV: Peak to Valley

VP: Valley to Peak

ZZ_PV_median_bars

ZZ_VP_median_bars

ZZ_PV_median_change

ZZ_VP_median_change

ZZ_PV_median_percent

ZZ_VP_median_percent

ZZ_PV_median_slope

ZZ_VP_median_slope

STATISTICAL CALCULATIONS

ZZ_PV_mean_bars:

The indicator computes the mean of the entire peak to valley horizontal distances in bars within the exploration window.

ZZ_VP_mean_bars:

The indicator computes the mean of the entire valley to peak horizontal distances in bars within the exploration window.

ZZ_PV_mean_change:

The indicator computes the mean of the entire peak to valley vertical distances in price within the exploration window.

ZZ_VP_mean_change:

The indicator computes the mean of the entire valley to peak vertical distances in price within the exploration window.

ZZ_PV_mean_percent:

The indicator computes the mean of the entire peak to valley vertical distances in terms of percent change in price within the exploration window.

ZZ_VP_mean_percent:

The indicator computes the mean of the entire valley to peak vertical distances in terms of percent change in price within the exploration window.

ZZ_PV_mean_slope:

The indicator computes the mean of the slopes of the peak to valley lines in degrees within the exploration window.

ZZ_VP_mean_slope:

The indicator computes the mean of the slopes of the valley to peak lines in degrees within the exploration window.

ZZ_PV_sd_bars:

The indicator computes the standard deviation of the entire peak to valley horizontal distances in bars within the exploration window.

ZZ_VP_sd_bars:

The indicator computes the standard deviation of the entire valley to peak horizontal distances in bars within the exploration window.

ZZ_PV_sd_change:

The indicator computes the standard deviation of the entire peak to valley vertical distances in price within the exploration window.

ZZ_VP_sd_change:

The indicator computes the standard deviation of the entire valley to peak vertical distances in price within the exploration window.

ZZ_PV_sd_percent:

The indicator computes the standard deviation of the entire peak to valley vertical distances in terms of percent change in price within the exploration window.

ZZ_VP_sd_percent:

The indicator computes the standard deviation of the entire valley to peak vertical distances in terms of percent change in price within the exploration window.

ZZ_PV_sd_slope:

The indicator computes the standard deviation of the slopes of the peak to valley lines in degrees within the exploration window.

ZZ_VP_sd_slope:

The indicator computes the standard deviation of the slopes of the valley to peak lines in degrees within the exploration window.

ZZ_PV_median_bars:

The indicator computes the median of the entire peak to valley horizontal distances in bars within the exploration window.

ZZ_VP_median_bars:

The indicator computes the median of the entire valley to peak horizontal distances in bars within the exploration window.

ZZ_PV_median_change:

The indicator computes the median of the entire peak to valley vertical distances in price within the exploration window.

ZZ_VP_median_change:

The indicator computes the median of the entire valley to peak vertical distances in price within the exploration window.

ZZ_PV_median_percent:

The indicator computes the median of the entire peak to valley vertical distances in terms of percent change in price within the exploration window.

ZZ_VP_median_percent:

The indicator computes the median of the entire valley to peak vertical distances in terms of percent change in price within the exploration window.

ZZ_PV_median_slope:

The indicator computes the median of the slopes of the peak to valley lines in degrees within the exploration window.

ZZ_VP_median_slope:

The indicator computes the median of the slopes of the valley to peak lines in degrees within the exploration window.