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QuantShare
2010-08-18 10:16:00
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Best Answer
Here is the formula:
max(absolute(zigzag(close, 44) - zigzag(close, 10)), max(absolute(zigzag(close, 10) - zigzag(close, 20)), max(absolute(zigzag(close, 20) - zigzag(close, 100)), absolute(zigzag(close, 100) - zigzag(close, 200))))) < 0.3
Please note that the zigzag function uses future bars and it should not be used in backtesting.
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