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My results for the ES were very different than FT71's. So I decided to test my method against his using the same data (ES continuous contract 1min data) and period. My results were virtually unchanged (when compared to my results for the past year), and still very different than FT71's.
Results for 2010-2-8 to 2012-2-7
Sample size: 65363 vs FT71's 31593
Zig Zag length within 1 SD: 2pts vs FT71's 3pts
Zig Zag length within 2 SDs: 4pts vs FT71's 5pts
Significant difference in relative terms. And the discrepancy increases for a bigger period.
These results are for a minimum price change of 1. To achieve that in Sierra Chart I used mode 3 and 0.75 as "Reversal Amount for Calculation", which based on Sierra Chart's formula results in a minimum price change of 1.
This made me think that Sierra Chart and Investor RT use a different formula for the Zig Zag indicator. But Investor RT does not publish definitions of their indicators online, at least not for public access. Could any Investor RT user share the definition or code of Investor RT's Zig Zag indicator?
I would compare the data. Investor RT uses IQFeed. I have had the same issues comparing 5 minute Bloomberg data to 5 minutes CQG data. The data is slightly different, its sounds crazy but it is true.