Implement ZigZag (ZZ) indicator

Algorithm/QCAlgorithm.Indicators.cs

@@ -2811,6 +2811,24 @@ public ZeroLagExponentialMovingAverage ZLEMA(Symbol symbol, int period, Resoluti
             return zeroLagExponentialMovingAverage;
         }
 
+        /// <summary>
+        /// Creates a ZigZag indicator for the specified symbol, with adjustable sensitivity and minimum trend length.
+        /// </summary>
+        /// <param name="symbol">The symbol for which to create the ZigZag indicator.</param>
+        /// <param name="sensitivity">The sensitivity for detecting pivots.</param>
+        /// <param name="minTrendLength">The minimum number of bars required for a trend before a pivot is confirmed.</param>
+        /// <param name="resolution">The resolution</param>
+        /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
+        /// <returns>The configured ZigZag indicator.</returns>
+        [DocumentationAttribute(Indicators)]
+        public ZigZag ZZ(Symbol symbol, decimal sensitivity = 0.05m, int minTrendLength = 1, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"ZZ({sensitivity},{minTrendLength})", resolution);
+            var zigZag = new ZigZag(name, sensitivity, minTrendLength);
+            InitializeIndicator(zigZag, resolution, selector, symbol);
+            return zigZag;
+        }
+
         /// <summary>
         /// Creates a new name for an indicator created with the convenience functions (SMA, EMA, ect...)
         /// </summary>

Indicators/ZigZag.cs

@@ -0,0 +1,208 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// 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.
+    /// </summary>
+    public class ZigZag : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// The most recent pivot point, represented as a bar of market data.
+        /// Used as a reference for calculating subsequent pivots.
+        /// </summary>
+        private IBaseDataBar _lastPivot;
+
+        /// <summary>
+        /// The minimum number of bars required to confirm a valid trend.
+        /// Ensures that minor fluctuations in price do not create false pivots.
+        /// </summary>
+        private readonly int _minTrendLength;
+
+        /// <summary>
+        /// The sensitivity threshold for detecting significant price movements.
+        /// A decimal value between 0 and 1 that determines the percentage change required
+        /// to recognize a new pivot.
+        /// </summary>
+        private readonly decimal _sensitivity;
+
+        /// <summary>
+        /// A counter to track the number of bars since the last pivot was identified.
+        /// Used to enforce the minimum trend length requirement.
+        /// </summary>
+        private int _count;
+
+        /// <summary>
+        /// Tracks whether the most recent pivot was a low pivot.
+        /// Used to alternate between identifying high and low pivots.
+        /// </summary>
+        private bool _lastPivotWasLow;
+
+        /// <summary>
+        /// Stores the most recent high pivot value in the ZigZag calculation.
+        /// Updated whenever a valid high pivot is identified.
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> HighPivot { get; }
+
+        /// <summary>
+        /// Stores the most recent low pivot value in the ZigZag calculation.
+        /// Updated whenever a valid low pivot is identified.
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> LowPivot { get; }
+
+        /// <summary>
+        /// Represents the current type of pivot (High or Low) in the ZigZag calculation.
+        /// The value is updated based on the most recent pivot identified: 
+        /// </summary>
+        public PivotPointType PivotType { get; private set; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ZigZag"/> class with the specified parameters.
+        /// </summary>
+        /// <param name="name">The name of the indicator.</param>
+        /// <param name="sensitivity">The sensitivity threshold as a decimal value between 0 and 1.</param>
+        /// <param name="minTrendLength">The minimum number of bars required to form a valid trend.</param>
+        public ZigZag(string name, decimal sensitivity = 0.05m, int minTrendLength = 1) : base(name)
+        {
+            if (sensitivity <= 0 || sensitivity >= 1)
+            {
+                throw new ArgumentException("Sensitivity must be between 0 and 1.", nameof(sensitivity));
+            }
+
+            if (minTrendLength < 1)
+            {
+                throw new ArgumentException("Minimum trend length must be greater than 0.", nameof(minTrendLength));
+            }
+            HighPivot = new Identity(name + "_HighPivot");
+            LowPivot = new Identity(name + "_LowPivot");
+            _sensitivity = sensitivity;
+            _minTrendLength = minTrendLength;
+            PivotType = PivotPointType.Low;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ZigZag"/> class using default parameters.
+        /// </summary>
+        /// <param name="sensitivity">The sensitivity threshold as a decimal value between 0 and 1.</param>
+        /// <param name="minTrendLength">The minimum number of bars required to form a valid trend.</param>
+        public ZigZag(decimal sensitivity = 0.05m, int minTrendLength = 1)
+            : this($"ZZ({sensitivity},{minTrendLength})", sensitivity, minTrendLength)
+        {
+        }
+
+        /// <summary>
+        /// 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.
+        /// </summary>
+        public override bool IsReady => Samples > _minTrendLength;
+
+        /// <summary>
+        /// 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.
+        /// </summary>
+        public int WarmUpPeriod => _minTrendLength + 1;
+
+        /// <summary>
+        /// Computes the next value of the ZigZag indicator based on the input bar.
+        /// Determines whether the input bar forms a new pivot or updates the current trend.
+        /// </summary>
+        /// <param name="input">The current bar of market data used for the calculation.</param>
+        /// <returns>
+        /// The value of the most recent pivot, either a high or low, depending on the current trend.
+        /// </returns>
+        protected override decimal ComputeNextValue(IBaseDataBar input)
+        {
+            if (_lastPivot == null)
+            {
+                UpdatePivot(input, true);
+                return decimal.Zero;
+            }
+
+            var currentPivot = _lastPivotWasLow ? _lastPivot.Low : _lastPivot.High;
+
+            if (_lastPivotWasLow)
+            {
+                if (input.High >= _lastPivot.Low * (1m + _sensitivity) && _count >= _minTrendLength)
+                {
+                    UpdatePivot(input, false);
+                    currentPivot = HighPivot;
+                }
+                else if (input.Low <= _lastPivot.Low)
+                {
+                    UpdatePivot(input, true);
+                    currentPivot = LowPivot;
+                }
+            }
+            else
+            {
+                if (input.Low <= _lastPivot.High * (1m - _sensitivity) && _count >= _minTrendLength)
+                {
+                    UpdatePivot(input, true);
+                    currentPivot = LowPivot;
+                }
+                else if (input.High >= _lastPivot.High)
+                {
+                    UpdatePivot(input, false);
+                    currentPivot = HighPivot;
+                }
+            }
+            _count++;
+            return currentPivot;
+        }
+
+        /// <summary>
+        /// Updates the pivot point based on the given input bar. 
+        /// If a change in trend is detected, the pivot type is switched and the corresponding pivot (high or low) is updated.
+        /// </summary>
+        /// <param name="input">The current bar of market data used for the update.</param>
+        /// <param name="pivotDirection">Indicates whether the trend has reversed.</param>
+        private void UpdatePivot(IBaseDataBar input, bool pivotDirection)
+        {
+            _lastPivot = input;
+            _count = 0;
+            if (_lastPivotWasLow == pivotDirection)
+            {
+                //Update previous pivot
+                (_lastPivotWasLow ? LowPivot : HighPivot).Update(input.EndTime, _lastPivotWasLow ? input.Low : input.High);
+            }
+            else
+            {
+                //Create new pivot
+                (_lastPivotWasLow ? HighPivot : LowPivot).Update(input.EndTime, _lastPivotWasLow ? input.High : input.Low);
+                PivotType = _lastPivotWasLow ? PivotPointType.High : PivotPointType.Low;
+            }
+            _lastPivotWasLow = pivotDirection;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _lastPivot = null;
+            PivotType = PivotPointType.Low;
+            HighPivot.Reset();
+            LowPivot.Reset();
+            base.Reset();
+        }
+    }
+}

Tests/Indicators/ZigZagTests.cs

@@ -0,0 +1,77 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class ZigZagTests : CommonIndicatorTests<IBaseDataBar>
+    {
+        protected override IndicatorBase<IBaseDataBar> CreateIndicator()
+        {
+            return new ZigZag("ZigZag", 0.05m, 10);
+        }
+        protected override string TestFileName => "spy_zigzag.csv";
+
+        protected override string TestColumnName => "zigzag";
+
+        [Test]
+        public void HighPivotShouldBeZeroWhenAllValuesAreEqual()
+        {
+            var zigzag = new ZigZag("ZigZag", 0.05m, 5);
+            var date = new DateTime(2024, 12, 2, 12, 0, 0);
+
+            for (int i = 0; i < 10; i++)
+            {
+                var data = new TradeBar
+                {
+                    Symbol = Symbol.Empty,
+                    Time = date,
+                    Open = 5,
+                    Low = 5,
+                    High = 5,
+                };
+                zigzag.Update(data);
+            }
+            Assert.AreEqual(0m, zigzag.HighPivot.Current.Value);
+        }
+
+        [Test]
+        public void LowPivotReflectsInputWhenValuesAreEqual()
+        {
+            var zigzag = new ZigZag("ZigZag", 0.05m, 5);
+            var date = new DateTime(2024, 12, 2, 12, 0, 0);
+            var value = 5m;
+
+            for (int i = 0; i < 10; i++)
+            {
+                var data = new TradeBar
+                {
+                    Symbol = Symbol.Empty,
+                    Time = date,
+                    Open = value,
+                    Low = value,
+                    High = value,
+                };
+                zigzag.Update(data);
+            }
+            Assert.AreEqual(value, zigzag.LowPivot.Current.Value);
+        }
+    }
+}

Tests/QuantConnect.Tests.csproj

@@ -626,6 +626,9 @@
     <Content Include="TestData\spy_sm.csv">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_zigzag.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
   </ItemGroup>
   <ItemGroup>
     <Content Include="TestData\symbol-properties\symbol-properties-database.csv">