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Zig Zag Indicator => Sierra Chart vs Investor RT


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Zig Zag Indicator => Sierra Chart vs Investor RT

  #1 (permalink)
 
Oysteryx's Avatar
 Oysteryx 
New York, NY
 
Experience: Master
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Hi all,

I did a Harmonic Rotations statistical study using Sierra Chart's Zig Zag indicator, as shown by FT71 here: FuturesTrader71 | 2012-02-07 [AUTOLINK]Harmonic[/AUTOLINK] Rotations. He uses Investor RT.

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?

Many thanks,

K

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  #2 (permalink)
 robert880 
Chicago + IL
 
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Did you ever get an answer on this? I am looking into the Zig Zag indicator as well. Thanks,

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  #3 (permalink)
 
slickiam's Avatar
 slickiam 
Tomsk, Russia
 
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Hey guys.

SC's ZZ source code is available.

So I wonder why you are asking the I/RT's definitions and looking for I/RT users here?

Scientia Libertas Prosperitas
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  #4 (permalink)
 
Oysteryx's Avatar
 Oysteryx 
New York, NY
 
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Not yet!

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  #5 (permalink)
 
para6ut's Avatar
 para6ut 
london united kingdom
 
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Platform: Sierra Chart, S5T
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Oysteryx View Post
Hi all,

I did a Harmonic Rotations statistical study using Sierra Chart's Zig Zag indicator, as shown by FT71 here: FuturesTrader71 | 2012-02-07 [AUTOLINK]Harmonic[/AUTOLINK] Rotations. He uses Investor RT.

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

This is what I got yesterday, from Sierra, for the last one year , 1 min chart. 3pts is within the 70%, or 1st sigma.

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  #6 (permalink)
 
Oysteryx's Avatar
 Oysteryx 
New York, NY
 
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Interesting, will recheck my work. Many thanks.

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  #7 (permalink)
 fiftyeight 
Australia
 
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para6ut View Post



This is what I got yesterday, from Sierra, for the last one year , 1 min chart. 3pts is within the 70%, or 1st sigma.

Any tips on how you did this, I am struggling a bit

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  #8 (permalink)
 nodoji 
New York
 
Experience: Advanced
Platform: SC, TN
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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.

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