Supported Indicators
Zig Zag
Introduction
The ZigZag indicator identifies significant turning points in price movements, filtering out noise using a sensitivity threshold and a minimum trend length. It alternates between high and low pivots to determine market trends.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using ZZ Indicator
To create an automatic indicators for ZigZag, call the ZZ helper method from the QCAlgorithm class. The ZZ method creates a ZigZag object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initializeinitialize method.
public class ZigZagAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private ZigZag _zz;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_zz = ZZ(_symbol, 0.05, 1);
}
public override void OnData(Slice data)
{
if (_zz.IsReady)
{
// The current value of _zz is represented by itself (_zz)
// or _zz.Current.Value
Plot("ZigZag", "zz", _zz);
// Plot all properties of zz
Plot("ZigZag", "highpivot", _zz.HighPivot);
Plot("ZigZag", "lowpivot", _zz.LowPivot);
Plot("ZigZag", "pivottype", _zz.PivotType);
}
}
} class ZigZagAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._zz = self.zz(self._symbol, 0.05, 1)
def on_data(self, slice: Slice) -> None:
if self._zz.is_ready:
# The current value of self._zz is represented by self._zz.current.value
self.plot("ZigZag", "zz", self._zz.current.value)
# Plot all attributes of self._zz
self.plot("ZigZag", "high_pivot", self._zz.high_pivot.current.value)
self.plot("ZigZag", "low_pivot", self._zz.low_pivot.current.value)
self.plot("ZigZag", "pivot_type", self._zz.pivot_type.current.value)
The following reference table describes the ZZ method:
zz(symbol, sensitivity=0.05, min_trend_length=1, resolution=None, selector=None)[source]Creates a ZigZag indicator for the specified symbol, with adjustable sensitivity and minimum trend length.
- symbol (Symbol) — The symbol for which to create the ZigZag indicator.
- sensitivity (float, optional) — The sensitivity for detecting pivots.
- min_trend_length (int, optional) — The minimum number of bars required for a trend before a pivot is confirmed.
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — x.Value)
The configured ZigZag indicator.
ZZ(symbol, sensitivity=0.05, minTrendLength=1, resolution=None, selector=None)[source]Creates a ZigZag indicator for the specified symbol, with adjustable sensitivity and minimum trend length.
- symbol (Symbol) — The symbol for which to create the ZigZag indicator.
- sensitivity (decimal, optional) — The sensitivity for detecting pivots.
- minTrendLength (Int32, optional) — The minimum number of bars required for a trend before a pivot is confirmed.
- resolution (Resolution, optional) — The resolution
- selector (Func<IBaseData, IBaseDataBar>, optional) — x.Value)
The configured ZigZag indicator.
If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.
For more information about the selector argument, see Alternative Price Fields.
For more information about plotting indicators, see Plotting Indicators.
You can manually create a ZigZag indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.
Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Updateupdate method with a TradeBar or QuoteBar. The indicator will only be ready after you prime it with enough data.
public class ZigZagAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private ZigZag _zz;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_zz = new ZigZag(0.05, 1);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_zz.Update(bar);
}
if (_zz.IsReady)
{
// The current value of _zz is represented by itself (_zz)
// or _zz.Current.Value
Plot("ZigZag", "zz", _zz);
// Plot all properties of zz
Plot("ZigZag", "highpivot", _zz.HighPivot);
Plot("ZigZag", "lowpivot", _zz.LowPivot);
Plot("ZigZag", "pivottype", _zz.PivotType);
}
}
} class ZigZagAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._zz = ZigZag(0.05, 1)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._zz.update(bar)
if self._zz.is_ready:
# The current value of self._zz is represented by self._zz.current.value
self.plot("ZigZag", "zz", self._zz.current.value)
# Plot all attributes of self._zz
self.plot("ZigZag", "high_pivot", self._zz.high_pivot.current.value)
self.plot("ZigZag", "low_pivot", self._zz.low_pivot.current.value)
self.plot("ZigZag", "pivot_type", self._zz.pivot_type.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class ZigZagAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private ZigZag _zz;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_zz = new ZigZag(0.05, 1);
RegisterIndicator(_symbol, _zz, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_zz.IsReady)
{
// The current value of _zz is represented by itself (_zz)
// or _zz.Current.Value
Plot("ZigZag", "zz", _zz);
// Plot all properties of zz
Plot("ZigZag", "highpivot", _zz.HighPivot);
Plot("ZigZag", "lowpivot", _zz.LowPivot);
Plot("ZigZag", "pivottype", _zz.PivotType);
}
}
} class ZigZagAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._zz = ZigZag(0.05, 1)
self.register_indicator(self._symbol, self._zz, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._zz.is_ready:
# The current value of self._zz is represented by self._zz.current.value
self.plot("ZigZag", "zz", self._zz.current.value)
# Plot all attributes of self._zz
self.plot("ZigZag", "high_pivot", self._zz.high_pivot.current.value)
self.plot("ZigZag", "low_pivot", self._zz.low_pivot.current.value)
self.plot("ZigZag", "pivot_type", self._zz.pivot_type.current.value)
The following reference table describes the ZigZag constructor:
ZigZag
The ZigZag indicator identifies significant turning points in price movements, filtering out noise using a sensitivity threshold and a minimum trend length. It alternates between high and low pivots to determine market trends.
get_enumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
reset()Resets this indicator to its initial state
to_detailed_string()Provides a more detailed string of this indicator in the form of {Name} - {Value}
str
update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (datetime)
- value (float)
bool
update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
bool
consolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet[IDataConsolidator]
currentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
high_pivotStores the most recent high pivot value in the ZigZag calculation. Updated whenever a valid high pivot is identified.
Stores the most recent high pivot value in the ZigZag calculation. Updated whenever a valid high pivot is identified.
IndicatorBase[IndicatorDataPoint]
is_readyIndicates whether the indicator has enough data to produce meaningful output. The indicator is considered "ready" when the number of samples exceeds the minimum trend length.
Indicates whether the indicator has enough data to produce meaningful output. The indicator is considered "ready" when the number of samples exceeds the minimum trend length.
bool
itemIndexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
low_pivotStores the most recent low pivot value in the ZigZag calculation. Updated whenever a valid low pivot is identified.
Stores the most recent low pivot value in the ZigZag calculation. Updated whenever a valid low pivot is identified.
IndicatorBase[IndicatorDataPoint]
nameGets a name for this indicator
Gets a name for this indicator
str
pivot_typeRepresents the current type of pivot (High or Low) in the ZigZag calculation. The value is updated based on the most recent pivot identified:
Represents the current type of pivot (High or Low) in the ZigZag calculation. The value is updated based on the most recent pivot identified:
PivotPointType
previousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
samplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
warm_up_periodGets the number of periods required for the indicator to warm up. This is equal to the minimum trend length plus one additional bar for initialization.
Gets the number of periods required for the indicator to warm up. This is equal to the minimum trend length plus one additional bar for initialization.
int
windowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow[IndicatorDataPoint]
ZigZag
The ZigZag indicator identifies significant turning points in price movements, filtering out noise using a sensitivity threshold and a minimum trend length. It alternates between high and low pivots to determine market trends.
GetEnumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
Reset()Resets this indicator to its initial state
ToDetailedString()Provides a more detailed string of this indicator in the form of {Name} - {Value}
String
Update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (DateTime)
- value (decimal)
Boolean
Update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
Boolean
ConsolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet<IDataConsolidator>
CurrentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
HighPivotStores the most recent high pivot value in the ZigZag calculation. Updated whenever a valid high pivot is identified.
Stores the most recent high pivot value in the ZigZag calculation. Updated whenever a valid high pivot is identified.
IndicatorBase<IndicatorDataPoint>
IsReadyIndicates whether the indicator has enough data to produce meaningful output. The indicator is considered "ready" when the number of samples exceeds the minimum trend length.
Indicates whether the indicator has enough data to produce meaningful output. The indicator is considered "ready" when the number of samples exceeds the minimum trend length.
bool
LowPivotStores the most recent low pivot value in the ZigZag calculation. Updated whenever a valid low pivot is identified.
Stores the most recent low pivot value in the ZigZag calculation. Updated whenever a valid low pivot is identified.
IndicatorBase<IndicatorDataPoint>
NameGets a name for this indicator
Gets a name for this indicator
string
PivotTypeRepresents the current type of pivot (High or Low) in the ZigZag calculation. The value is updated based on the most recent pivot identified:
Represents the current type of pivot (High or Low) in the ZigZag calculation. The value is updated based on the most recent pivot identified:
PivotPointType
PreviousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
SamplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
WarmUpPeriodGets the number of periods required for the indicator to warm up. This is equal to the minimum trend length plus one additional bar for initialization.
Gets the number of periods required for the indicator to warm up. This is equal to the minimum trend length plus one additional bar for initialization.
Int32
WindowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow<IndicatorDataPoint>
[System.Int32]Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
Visualization
The following image shows plot values of selected properties of ZigZag using the plotly library.
Indicator History
To get the historical data of the ZigZag indicator, call the IndicatorHistoryself.indicator_history method.
This method resets your indicator, makes a history request, and updates the indicator with the historical data.
Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time.
If you don't provide a resolution argument, it defaults to match the resolution of the security subscription.
public class ZigZagAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var zz = ZZ(_symbol, 0.05, 1);
var countIndicatorHistory = IndicatorHistory(zz, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(zz, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(zz, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class ZigZagAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
zz = self.zz(self._symbol, 0.05, 1)
count_indicator_history = self.indicator_history(zz, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(zz, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(zz, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
To make the IndicatorHistoryindicator_history method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector argument.
var indicatorHistory = IndicatorHistory(zz, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(zz, 100, Resolution.MINUTE, lambda bar: bar.high) indicator_history_df = indicator_history.data_frame
If you already have a list of Slice objects, you can pass them to the IndicatorHistoryindicator_history method to avoid the internal history request.
var history = History(_symbol, 100, Resolution.Minute); var historyIndicatorHistory = IndicatorHistory(zz, history);
To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.
var highpivot = indicatorHistory.Select(x => ((dynamic)x).HighPivot).ToList(); var lowpivot = indicatorHistory.Select(x => ((dynamic)x).LowPivot).ToList(); var pivottype = indicatorHistory.Select(x => ((dynamic)x).PivotType).ToList(); // Alternative way // var highpivot = indicatorHistory.Select(x => x["highpivot"]).ToList(); // var lowpivot = indicatorHistory.Select(x => x["lowpivot"]).ToList(); // var pivottype = indicatorHistory.Select(x => x["pivottype"]).ToList();
high_pivot = indicator_history_df["high_pivot"] low_pivot = indicator_history_df["low_pivot"] pivot_type = indicator_history_df["pivot_type"] # Alternative way # high_pivot = indicator_history_df.high_pivot # low_pivot = indicator_history_df.low_pivot # pivot_type = indicator_history_df.pivot_type
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