Log in to see Cloud of Tags

Wealth-Lab Wiki

Laguerre RSI

RSS

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 ); } } }

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.


ScrewTurn Wiki. Some of the icons created by FamFamFam.