2003issue C111-5

Constructing a confirmed zigzag trend filter

A standard zigzag can rewrite its last swing until a reversal threshold is met. This archive article shows how to rebuild that filter so it reports only confirmed direction on prices or another plotted series.

A standard zigzag can rewrite its last swing if a reversal never reaches the user-set threshold, so last-leg direction is not a stable input for mechanical tests.
Once price reaches or exceeds the reversal threshold, that swing is no longer revisable, and a confirmation-only zigzag trend returns 1 or -1 while rejecting unconfirmed swings.
The filter is defined by the series under study, the reversal amount, and a percent or points method, and the same confirmation logic can sit on prices or on another plotted series.
The confirmation overlay cannot print a value until the first pair of swing points is confirmed, so it starts later than an unconfirmed zigzag line.

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Current trackTrend filter137 readings Moving average449 readings

The last swing is not a stable input

A standard zigzag filter can rewrite its last swing if a reversal never reaches the user-set threshold, so that last-leg direction is not a stable input for mechanical tests. That still-open swing is the dynamic last leg of a noise filter, which can be rewritten if price never reaches the reversal threshold.

A moving average is an ordered-series smoother used here as a contrast: a revisable last-leg swing line versus a confirmation-only directional state.

A swing becomes fixed only after the threshold

Once price reaches or exceeds the reversal threshold, that zigzag swing is no longer revisable under the same construction rules. The reversal amount is the user-chosen percent or point threshold a move must travel before a swing is treated as a true reversal.

A trend filter in this construction is a quantitative gate that withholds a directional reading until a user-set reversal threshold is actually reached.

Why the confirmation reading stays valid

The source comparison table treats the confirmation filter as suitable for backtests because both present and past readings stay valid, unlike a last-leg-only validity check. The zigzag trend is a binary confirmation layer that returns a valid uptrend or downtrend and rejects unconfirmed swings.

Three construction inputs

The filter is defined by three construction inputs: the series being examined, the reversal amount, and a percent or points calculation method.

The percent method supplies one reversal rule across price levels but treats up and down moves asymmetrically, because a given percentage rise from a lower price is easier to reach than the same percentage fall from a higher price. The points method is the preferred construction when up and down moves should be compared linearly, or when the series can include zero or negative values, as with oscillators.

Where the overlay can sit, and when it can start

The same confirmation logic can be applied to an open, high, low, or close series, or dropped onto another plotted series such as a relative-strength oscillator.

The confirmation overlay cannot print a value until the first pair of swing points is confirmed, so it starts later than an unconfirmed zigzag line.

Daily Boeing prices the zigzag-trend filter is read against, 2000–2002

A trader should see the long confirmed advance into the late-2000 and May 2001 highs, the June break, the September 2001 collapse, then a weaker 2002 bounce that fails. The source draws confirmed uptrends as the upper edge bar and confirmed downtrends as the lower edge bar; those bars sit on a different scale, so only the price path is plotted here. Prices were read from the published daily pane at month ticks and turning points and are approximate to the nearest dollar.Boeing · Daily · 2000-03-01T00:00:00.000Z to 2002-11-30T00:00:00.000Z

No printed price table exists in the unit. Y values are raster readings, not official prints. The article’s Boeing example uses zigzag trend on the close with a 15 percent reversal; that parameter is not reprinted on this pane.

Educational research material, not investment advice. Historical source context does not establish present-day performance.

14 of 33 in the Trend filter track

20041-5 pp.Next on Trend filterDecompose high, low, and close into separate forecast streamsA Relative Strength Index can be rebuilt on the period low or high instead of the close so each price stream produces its own support or resistance forecast.

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Also on Trend filter5 readings

1982An odd-length smoother from a cycle cutoff 1988Auditing the forty-month stock-price cycle 1992Confirming currency-fund trends with a crossover and a filter 1992Constructing a nine-state trend, momentum, and breadth score 1992Constructing multi-span smoothed rate-of-change filters