ZigZag ATR

14. Jan.

ZigZag ATR Library

A volatility-adaptive ZigZag indicator that uses Average True Range (ATR) instead of fixed percentage deviation to detect pivot points. This makes the ZigZag dynamically adjust to market conditions — tighter during low volatility, wider during high volatility.

Why ATR instead of Percentage?

The standard ZigZag uses a fixed percentage threshold (e.g., 5%) to determine when price has reversed enough to form a new pivot. This approach has limitations:

• A 5% move means very different things for a $10 stock vs a $500 stock
  
• During high volatility, fixed percentages create too many pivots (noise)
  
• During low volatility, fixed percentages may miss significant structure
  

ATR-based deviation solves these issues by measuring reversals in terms of actual volatility, not arbitrary percentages.

Key Features

• Volatility-adaptive pivot detection using ATR × multiplier threshold
  
• Automatic adjustment to changing market conditions
  
• Full customization of ATR length and multiplier
  
• Optional line extension to current price
  
• Pivot labels showing price, volume, and price change
  
• Clean library structure for easy integration
  

Settings

1. ATR Length — Period for ATR calculation (default: 14)
   
2. ATR Multiplier — How many ATRs price must move to confirm a new pivot (default: 2.0)
   
3. Depth — Bars required for pivot detection (default: 10)
   
4. Extend to Last Bar — Draw provisional line to current price
   
5. Display options — Toggle price, volume, and change labels
   

How to Use

import YourUsername/ZigZagATR/1 as zz

// Create settings
var zz.Settings settings = zz.Settings.new(
     14,    // ATR length
     2.0,   // ATR multiplier
     10     // Depth
 )

// Create ZigZag instance
var zz.ZigZag zigZag = zz.newInstance(settings)

// Calculate ATR and update on each bar
float atrValue = ta.atr(14)
zigZag.update(atrValue)

Exported Types

• Settings — Configuration for calculation and display
  
• Pivot — Stores pivot point data, lines, and labels
  
• ZigZag — Main object maintaining state and pivot history
  

Exported Functions

• newInstance(settings) — Creates a new ZigZag object
  
• update(atrValue) — Updates the ZigZag with current ATR (call once per bar)
  
• lastPivot() — Returns the most recent pivot point
  

Recommended Multiplier Values

1.0 - 1.5 → More sensitive, more pivots, better for scalping
2.0 - 2.5 → Balanced, good for swing trading (default)
3.0+ → Less sensitive, major pivots only, better for position trading

Based on TradingView's official ZigZag library, modified to use ATR-based deviation threshold.

14. Jan.

Versionshinweise

v2
Update v2: Added xATR Display Mode

What's New

Added a new display mode for the Reversal Price Change label: ATR multiples.

You can now see each swing's magnitude expressed as a multiple of ATR (e.g., "+2.35x ATR"), giving you instant insight into the significance of each move relative to current volatility.

New Display Modes

The differencePriceMode setting now accepts three options:

• Absolute — Raw price difference (e.g., "+$5.25")
  
• Percent — Percentage change (e.g., "+2.5%")
  
• ATR — ATR multiples (e.g., "+2.35x ATR") ← NEW

Why xATR?

• A 3x ATR move is significant regardless of absolute price or percentage
  
• Instantly compare swing magnitudes across different volatility regimes
  
• Better context for position sizing and stop placement
  
• Natural complement to ATR-based pivot detection
  

Usage Example

var zz.Settings settings = zz.Settings.new(
     14,      // ATR length
     2.0,     // ATR multiplier
     10,      // Depth
     color.blue,
     true,    // Extend to last bar
     true,    // Display reversal price
     true,    // Display cumulative volume
     true,    // Display reversal price change
     "ATR"    // ← Set to "ATR" for xATR display
 )

Default Changed

The default differencePriceMode is now "ATR" instead of "Absolute" to better align with the ATR-based nature of this library.

Backward compatible — existing code using "Absolute" or "Percent" modes continues to work unchanged.