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Ehlers Laguerre RSI for Amibroker (AFL)
panno
over 13 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

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Indicator / Formula

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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);

3 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

3. leminhtien

Excellent! Thanks

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