Stock Portfolio Organizer

The ultimate porfolio management solution.

Shares, Margin, CFD's, Futures and Forex
EOD and Realtime
Dividends and Trust Distributions
And Much More ....
For Portfolio Manager Click Here

WiseTrader Toolbox

#1 Selling Amibroker Plugin featuring:

Advanced Adaptive Indicators
Advanced Pattern Exploration
Neural Networks
And Much More ....
Find Out More Here

Ehlers Laguerre RSI for Amibroker (AFL)
panno
over 8 years ago
Amibroker (AFL)

Rating:
5 / 5 (Votes 1)
Tags:
oscillator, amibroker
The Laguerre transform provides a time warp such that the low frequency components are delayed much more than the high frequency components. This enables very smooth filters to be built using a short amount of data. The Laguerre RSI operates on four data points and is smoother than an RSI.

Screenshots

Similar Indicators / Formulas

Febo RSI ..real indicator
Submitted by abhinavsingh about 8 years ago
Trading Volume Statistic
Submitted by tuanstock1 over 5 years ago
Ergodic Oscillator
Submitted by dljtrader about 9 years ago
3 Days Track
Submitted by janet0211 over 9 years ago
Chande Momentum Oscillator
Submitted by klimpek about 9 years ago
BoH Risk Aversion Indicator
Submitted by genkumag almost 8 years ago

Indicator / Formula

Copy & Paste Friendly
SetBarsRequired(200, 0);

// Ehlers formulas
// from Ehlers, John F. Cybernetic Analysis for Stocks and Futures. Wiley. 2004. 
// Chapter 14, p. 213. Code on p. 221.

function LRSI(array, gamma)
// Figure 14.8 on p. 221.
{
  L0 = array;  // Initialize as array
  L1 = array;
  L2 = array;
  L3 = array;
  LRSIValue = array;

  for(i = 1; i < BarCount; i++)
  {
     L0[i] = (1 - gamma)*array[i] + gamma*L0[i-1];
     L1[i] = - gamma * L0[i] + L0[i-1] + gamma * L1[i-1];
     L2[i] = - gamma * L1[i] + L1[i-1] + gamma * L2[i-1];
     L3[i] = - gamma * L2[i] + L2[i-1] + gamma * L3[i-1];

     CU = 0;
     CD = 0;
     if (L0[i] >= L1[i]) CU = L0[i] - L1[i]; else (CD = L1[i] - L0[i]);
     if (L1[i] >= L2[i]) CU = CU + L1[i] - L2[i]; else CD = CD + L2[i] - L1[i];
     if (L2[i] >= L3[i]) CU = CU + L2[i] - L3[i]; else CD = CD + L3[i] - L2[i];

     if (CU + CD != 0) LRSIValue[i] = CU / (CU + CD);
  }
  return LRSIValue;
}

Plot(LRSI(C, 0.5), "Laguerre RSI", colorRed, styleLine);
PlotGrid(.8);
PlotGrid(.5);
PlotGrid(.2);

2 comments

1. Wach

Excellent. I have been using it for awhile now and shared it a friend and so far so good. Best thing about laguerre, is its simplicity of visual so what you see is what you get. Again, thanks for the refined Oscillator.

2. raj_guna2011

mr wach, please suggest me for intraday , how to use this formula(Laguerre formula).please suggest me

Leave Comment

Please login here to leave a comment.

Back