Laguerre RSI

Modified on 2009/06/09 07:41 by Eugene — Categorized as: Community Indicators

LaguerreRSI: Indicator Documentation

Syntax

DataSeries LaguerreRSI( DataSeries ds, double gamma );

Parameter Description

ds	Data Series
gamma	Gamma value

Description

The Laguerre RSI indicator created by John F. Ehlers is described in his book "Cybernetic Analysis for Stocks and Futures". It's a pretty responsive RSI successor constructed using only 4 bars of data, but compared to the regular RSI it has way less noise (whipsaws) considering its fast reaction speed.

The gamma value determines how aggressive or conservative does it get; for example, a value like 0.80 is considered conservative whereas the value of 0.5 will be more reactive but more prone to whipsaws.

References:

(DOC - Word document) From JamesGoulding.com: "Time Warp – Without Space Travel" (by John F. Ehlers) illustrates the LaguerreRSI construction.

Example

This example compares the usual RSI to Ehlers' LaguerreRSI.


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			RSI rsi4 = RSI.Series( Close,4 );
			LaguerreRSI lRsi = LaguerreRSI.Series( Close, 0.50 );
			HideVolume();
			ChartPane rsiCompare = CreatePane( 40, true, false );
			PlotSeries( rsiCompare, rsi4, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries( rsiCompare, lRsi, Color.Red, LineStyle.Solid, 2 );
		}
	}
}