Laguerre RSI

laguerre_rsi

Function Name: laguerre_rsi

Tags: None

Category: Momentum

The Laguerre RSI uses a Laguerre filter to provide a "time warp" so that the low frequency components are delayed more than the high frequency components, enabling much smoother filters to be created using less data.

A typical use of the Laguerre RSI is to buy after the line crosses back over the 20% level and sell after the price crosses back down over the 80% level.

The price damping factor can be customized for optimal use to best suit the trade instruments data by altering the Gamma factor, which is usually between 0.55 and 0.85. The lower the Gamma factor, the faster and more aggressive the entry.

 

Author:   John Ehler

Publication: "Cybernetic Analysis for Stocks and Futures"

 

Parameters

gamma

 

Default Value: 0.7  |  Minimum: -1  |  Maximum: 1

 

Type: Numeric

upperLevel

 

Default Value: 0.8  |  Minimum: 0  |  Maximum: 1

 

Type: Numeric

lowerLevel

 

Default Value: 0.2  |  Minimum: 0  |  Maximum: 1

 

Type: Numeric