ZigZag ATR Pct

ZigZag ATR % Library

A PineScript v6 library for detecting price pivots based on ATR percentage change (volatility shifts) rather than fixed ATR multiples.

How It Works

Traditional ZigZag indicators use a fixed price threshold to detect pivots. This library takes a different approach: pivots are detected when volatility is changing significantly.

The ATR % change measures how much the Average True Range has shifted over a lookback period:

atrPct = 100 * (atr / atr[lookback] - 1)

• Positive ATR % = Volatility expanding (market becoming more volatile)
  
• Negative ATR % = Volatility contracting (market calming down)
  

Pivots form when |ATR %| exceeds your threshold, capturing turning points during volatility transitions.

Exported Types

• Settings - Configuration (ATR length, lookback, threshold, display options)
  
• Pivot - Pivot point data (price, time, direction, volume, ATR %)
  
• ZigZag - Main state container
  

Exported Functions

• newInstance(settings) - Create a new ZigZag instance
  
• update(zz, atr, atrPct) - Update on each bar
  
• getLastPivot(zz) - Get the most recent pivot
  
• getPivot(zz, index) - Get pivot at specific index
  
• getPivotCount(zz) - Get total number of pivots
  
• calcTR() - Calculate True Range
  
• calcATR(length) - Calculate ATR using EMA
  
• calcATRPct(atr, atrPrev) - Calculate ATR % change
  
• calcPricePct(startPrice, endPrice) - Calculate price % change
  

Usage Example

//@version=6
indicator("My ZigZag", overlay = true)
import DeepEntropy/ZigZagATRPct/1 as zz

// Settings
var zz.Settings settings = zz.Settings.new(
     atrLength = 14,
     atrLookback = 14,
     atrPctThreshold = 5.0,
     depth = 10
 )

var zz.ZigZag zigZag = zz.newInstance(settings)

// Calculate ATR %
float atr = zz.calcATR(14)
float atrPct = zz.calcATRPct(atr, atr[14])

// Update
zigZag := zz.update(zigZag, atr, atrPct)

// Access pivots
int count = zz.getPivotCount(zigZag)
if count > 0
    zz.Pivot last = zz.getLastPivot(zigZag)
    label.new(last.point, text = str.tostring(last.atrPct, "#.##") + "%")

Parameters

1. ATR Length - Period for ATR calculation (default: 14)
   
2. ATR Lookback - Bars to look back for ATR % change (default: 14)
   
3. ATR % Threshold - Minimum |ATR %| to trigger pivot detection (default: 5.0)
   
4. Depth - Minimum bars between pivots (default: 10)
   

Use Cases

• Identify reversals during volatility regime changes
  
• Filter noise during low-volatility consolidation
  
• Detect breakout pivots when volatility expands
  
• Build volatility-aware trading systems
  

This library detects when the market's behavior is changing, not just how much price has moved.