Hello,

Chad, your new ZZO token seems highly interesting, so I would suggest to add it to the ZZO toolbox.

I had the opportunity to chat few months ago with Whatstop, so I know that his request is complicated because of the 2 following points :

1) he wants to get the Highest move reached after a given signal (the accumulated delta percent on a given zig zag upleg) UNTIL the previous Pivot Low (of the original signal leg) is broken – This “exit point”, which needs to be taken into account, as it will influence the value of the MFE Move (Max Favorable Excursion Move), is linked to the price of the “entry point”, so the only way to get that “period” represented inside a custom indicator is to use a Trading System type of indicator as the exit is a P&L type of exit, ie linked to a price related to a given entry point (it is fundamentally a “stop”) – This will also allow us to skip consecutive signals as long as the initial signal is “still alive”

2) the other issue is basically more “technical” and linked to the ZZO token complexity –– Of course, a delta percent measurement (or any other data calculated) on a zigzag up leg is only “confirmed” when the corresponding ZZ up leg is confirmed, ie the minimum down retracement is reached – So any indicator based on ZZO=1 in order to detect a pivot up or down bar (and calculating any statistics) is retrospectively “looking forward” (in order to make sure this is a “confirmed” pivot).
So what I observed (without any surprise) is that using the TSYS token in such an environment (ie with an entry which require a forward looking data) wont produce the expected result (and that’s quite normal as you shouldn t use any forward data in a true backtest)

But if the purpose of the study is to evaluate (after the fact) for statistical purpose only "confirmed" signals (and won’t be run live), then one is entitled to use look forward data
So, after some trial, I found that the good old SSIM token (System Simulator) which is the ancestor of the TSYS token (but which is 20 time less sophisticated) seems to be compatible with the use of forward looking token (such as ZZO for detecting pivot) – Moreover, SSIM has the great advantage to have a very intuitive set up window.. So the chart herebelow is answering to Whatstop statistical study request,

https://www.linnsoft.com/charts/rotation-stat-study-es

1) To make thing easy, as we are going to look forward anyway, I am locating all the study results (o be displayed with paint indicators) at the initial Pivot low bar, prior to the upleg with the right Delta percent using the looking forward FREF token (in order to keep reference to the initial CI syntax)

CI_ENTRY = ((DOWN_PIVOT=1)*FREF(CI,BAR_TIL_PIVOT_HIGH))

With the CI being the delta percent as measured at the pivot high
So the "Entry Signal" to be used in the SSIM defintion is basically CI > V#3

2) Then, I am defining a System simulator token (see attached screenshot) for a Long position with
CI ENTRY SIG as above – I use the Low price (ie the pivot low price)
CI EXIT SIG : I am just closing by default any position at the end of the day session (otherwise, you may only have one Signal considered if you are lucky enough to catch the bottom)
You could in fact here put any kind of Exit Signal (if you don’t want to wait an hypothetical pivot Low break after having catched a market bottom)
STOP LEVEL : is fundamentally Low price less half a tick or so (as we want to break pivot low by at least one tick)
And that’s it – The Blue color band / marker on the first pane is just based on the Signal :
SSIM (status) =1 (ie a Long “position” is ongoing)

And, in order to display the study area on the price chart, I use a ZONE indicator based on “consecutive signal” is true, with the same signal (SSIM / status =1)

3) In order to get the MFE over the period, I am defining first Generic Signals for detecting the entry and exit point of the System Simulator
SSIM entry point (SSIM=1)*(SSIM.1=0) >0
SSIM exit point (SSIM=0)*(SSIM.1=1) >0

Then in order to look forward and get the MFE / Highest High price information (at the entry point) , I am using the following custom indicator

(ENTRY_LONG_SSIM=TRUE)*(FREF(MAX(HI,BARSCE_ENTRY),BARTIL_EXIT)

With
BARSCE ENTRY = Signal STAT token with Bar since last SIG with SIG = SSIM entry point
BARTIL EXIT = Signal STAT token with Bar until next SIG with SIG = SSIM exit point

And in order to get the MFE move (ie the push beyond the first Pivot High price) :

(ENTRY_LONG_SSIM=TRUE)*((FREF(MAX(HI,BARSCE_ENTRY),BARTIL_EXIT)-FIRST_PIV_HIGH_PRICE)/TINC)

adding the FIRST_PIV_HIGH_PRICE = SSTAT token / price at next Signal with Signal = PIVOT HIGH

Notes / Comments :
a) As prev. discussed with Chad, a FMAX token would simplify a lot the above “FREF (MAX(HI,SSTAT_A… ),SSTAT_B) “ type of syntax
Typically a FMAX (expression,n) token would return the maximum of the expression over the coming n bars.
With the FREF (MAX(HI,CI),n) solution, the issue is that the whole “expression” (including the CI) is evaluated at the forward bar, therefore one need to use MAX(HI,BAR_SCE ENTRY) in order to get the right number of bar (looking backwards) at the forward point…
ie with FMAX, we could use the more intuitive syntax FMAX(HI,BARTIL_EXIT)

b) I could have theoretically used the Zone High & Zone Low token in order to get to the MFE, but while the Zone indicator is correctly displayed (which is a huge achievement), these ZONE token values aren’t correct, which is not a big surprise due to all the looking forward & backward activities within the underlying Signals of the SSIM. Anyhow, what is important is that the MFE value are correct with the FREF approach explained above…

c) For the record, I could also have used successfully the TSYS token approach (instead of the SSIM) but obv without any forward data, ie this woiuld require to have as entry bar the first down retracement after an upleg having the right percent Delta… but as the SSIM token worked well, I kept that option…