Adaptive Laguerre: Indicator Documentation
Syntax
DataSeries AdaptiveLaguerre( DataSeries ds, int period );
Parameter Description
| bars |
Bars object |
| ds |
Data Series |
| period |
Lookback period |
Description
The Adaptive Laguerre filter is a variation on the Laguerre filter using a variable gamma factor, based on how well the filter is tracking a past
Lookback bars prices. Like other adaptive moving averages, it will track trending moves closely but will change less in range-bound markets.
References:
- 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.
- MESA Software: "Time Warp – Without Space Travel" (by John F. Ehlers; Word document inside an EXE archive) illustrates the LaguerreRSI construction.
Note:
Do not try to apply
AdaptiveLaguerre to itself with the same period; it will cause chart to be stuck in an endless loop. If you need to smooth the
AdaptiveLaguerre with itself, use a different period.
Example
This example illustrates how to create the Adaptive Laguerre series and plot them:
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators; // Adaptive Laguerre here
namespace WealthLab.Strategies
{
public class AdaptiveLaguerreDemo : WealthScript
{
protected override void Execute()
{
// Create a 30-period adaptive Laguerre series on closing price
AdaptiveLaguerre al = AdaptiveLaguerre.Series( Bars,Close,30 );
PlotSeries( PricePane, al, Color.Blue, WealthLab.LineStyle.Solid, 2 );
}
}
}
And here is how another good adaptive moving average, KAMA, compares to Adaptive Laguerre in a short squeeze environment (Volkswagen, daily):
 Adaptive Laguerre vs. KAMA |