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Laguerre

Relative Momentum Index with Laguerre FilterThe Relative Momentum Index The Relative Momentum Index (RMI) is an oscillator that is a variation of the Relative Strength Index (RSI), but incorporates momentum over a variable lookback period rather than just consecutive price changes, which can help identify reversals and filter out noise. It measures the momentum of price changes over a specified period, rather than just the magnitude of price changes like the RSI does. It counts up and down days from the current closing price relative to the closing price a certain number of days ago (e.g. 5 days ago), instead of just comparing consecutive daily closes like the RSI It is calculated by taking the ratio of the average upward price changes to the average downward price changes over a given period, where each change is measured from the close X days ago (X is the “momentum” period) Like the RSI, the RMI oscillates between 0 and 100, with readings above 70 considered overbought and below 30 oversold. In trending markets, the RMI tends to remain in overbought or oversold territory for extended periods. In trading ranges, it oscillates more predictably between the overbought and oversold levels. The RMI is generally considered better than the RSI at identifying potential reversal points, as it incorporates a momentum factor rather than just strength. It can be used in a similar way to the RSI for trade signals, such as buying when it rises above 30 from below, or selling when it falls below 70 from above The Laguerre filter A Laguerre filter is a type of infinite impulse response (IIR) filter used for smoothing signals or data. The Laguerre filter provides a way to apply variable smoothing to a signal by adjusting its pole position, allowing you to control the balance between smoothness and lag based on your preferences. It is an alternative to simple moving averages that can better preserve the shape of the original signal.
Pine Script™ indicator
by bvdbeld2
Laguerre Stochastic | AdulariDescription: The Laguerre Stochastic is similar to a 4-period regular Stochastic, except that a Laguerre transform has been applied for price smoothing. The Laguerre transform is a mathematical technique that allows smooth indicators to be built using small amounts of data. How do I use it? Never use this indicator as standalone trading signal, it should be used as confluence. When the value is above the middle line this shows the bullish trend is strong. When the value is below the middle line this shows the bearish trend is strong. When the value crosses above the upper line this indicates the trend may reverse downwards. When the value crosses below the lower line this indicates the trend may reverse upwards. When the value crosses above the signal this indicates the current bearish trend is getting weak and may reverse upwards. When the value crosses below the signal this indicates the current bullish trend is getting weak and may reverse downwards. Features: Oscillator value indicating the difference between highs and lows fractioned by the close price. %D value acting as a smoothed version of the %K. Horizontal lines such as oversold, overbought and middle lines, indicating possible interest zones. How does it work? 1 — Calculate regular Stochastic value. 2 — Apply the Laguerre transform. 3 — Calculate %D value by applying smoothing to the %K value.
Pine Script™ indicator
by Adulari
[DuDu95] SSL 4C MACD Laugerre RSI StrategyHello Guys! Nice to meet you all! Before I start, my nickname has changed to 'DuDu95'!! This is the Strategy introduced by youtube channel. I made this based on the open source indicator by kevinmck100, vkno422, KivancOzbilgic. Thank you All! ### Entry Logic 1. Long Entry Logic - close > SSL Hybrid baseline upper k (keltner channel) - macd signal > 0 and current MACD value > previous MACD value - Laguerre RSI < overbought Line. 2. short Entry Logic - close < SSL Hybrid baseline lower k (keltner channel) - macd signal < 0 and current MACD value < previous MACD value - Laguerre RSI > overbought Line. ### Exit Logic 1. Long Exit Logic - close < SSL Hybrid baseline lower k (keltner channel) - macd signal < 0 2. short Entry Logic - close > SSL Hybrid baseline upper k (keltner channel) - macd signal > 0 ### StopLoss 1. Can Choose Stop Loss Type: Percent, ATR, Previous Low / High. 2. Can Chosse inputs of each Stop Loss Type. ### Take Profit 1. Can set Risk Reward Ratio for Take Profit. - To simplify backtest, I erased all other options except RR Ratio. - You can add Take Profit Logic by adding options in the code. 2. Can set Take Profit Quantity. ### Risk Manangement 1. Can choose whether to use Risk Manangement Logic. - This controls the Quantity of the Entry. - e.g. If you want to take 3% risk per trade and stop loss price is 6% below the long entry price, then 50% of your equity will be used for trade. 2. Can choose How much risk you would take per trade. ### Plot 1. Added Labels to check the data of entry / exit positions. 2. Changed and Added color different from the original one. (green: #02732A, red: #D92332, yellow: #F2E313)
Pine Script™ strategy
by DuDu95
3
STD-Filtered, ATR-Adaptive Laguerre Filter [Loxx]STD-Filtered, ATR-Adaptive Laguerre Filter is a standard Laguerre Filter that is first made ATR-adaptive and the passed through a standard deviation filter. This helps reduce noise and refine the output signal. Can apply the standard deviation filter to the price, signal, both or neither. What is the Laguerre Filter? The Laguerre RSI indicator created by John F. Ehlers is described in his book "Cybernetic Analysis for Stocks and Futures". The Laguerre Filter is a smoothing filter which is based on Laguerre polynomials. The filter requires the current price, three prior prices, a user defined factor called Alpha to fill its calculation. Adjusting the Alpha coefficient is used to increase or decrease its lag and it's smoothness. Included: Bar coloring Signals Alerts Loxx's Expanded Source Types
Pine Script™ indicator
by loxx
Jurik-Filtered, Adaptive Laguerre PPO [Loxx]Jurik-Filtered, Adaptive Laguerre PPO is an indicator used to find reversals. Smoothing with a Jurik Filter reduces noise and better identifies reversal points. What is Laguerre Filter? The Adaptive Laguerre is based on the Laguerre filter, described by John Ehlers in his paper “Time Warp – Without Space Travel”. It applies a variable gamma factor, based on how well the filter is tracking previous price movement. As with other adaptive moving averages, the Adaptive Laguerre tracks trending markets closely but will see less changes in range-bound markets. The Adaptive Laguerre filter allows for an adjustment of the simple Laguerre filter. When price moves away from the filter, it becomes faster. When price moves sideward, the filter gets slower. Accordingly, this indicator belongs to the same class of moving average as the Kaufman Adaptive Moving Average (KAMA). It similar to the Volatility Index Dynamic Average (VIDYA) developed by Tushar Chande. The Adaptive Laguerre filter is smoother than the VIDYA and will adjust slower to price action after consolidations. What is Jurik Volty? One of the lesser known qualities of Juirk smoothing is that the Jurik smoothing process is adaptive. "Jurik Volty" (a sort of market volatility ) is what makes Jurik smoothing adaptive. The Jurik Volty calculation can be used as both a standalone indicator and to smooth other indicators that you wish to make adaptive. What is the Jurik Moving Average? Have you noticed how moving averages add some lag (delay) to your signals? ... especially when price gaps up or down in a big move, and you are waiting for your moving average to catch up? Wait no more! JMA eliminates this problem forever and gives you the best of both worlds: low lag and smooth lines. Ideally, you would like a filtered signal to be both smooth and lag-free. Lag causes delays in your trades, and increasing lag in your indicators typically result in lower profits. In other words, late comers get what's left on the table after the feast has already begun. Included: -Toggle on/off bar coloring
Pine Script™ indicator
by loxx
Vortex Indicator w/ ALFAdded Adaptive Laguerre Filters (ALF) to built-in TradingView Vortex Indicator. Use these ALFs similar to an MA or ROC on the VI+ or VI-, as they indicate the strength of the uptrend/downtrend and can help spot tops and bottoms earlier (when the VI line crosses through the ALF the ALF will change color) - Added configurable horizontal lines to show periods of extremely high/low trend strength. Also can be used to help call tops/bottoms. - Add horizontal ranges with background color/ - Added background color for when RSI is above a certain level (50 by default). Etienne Botes has mentioned using Vortex with RSI of the same period being over 50.0 can filter out false signals. - Added background color for when VI+ and VI- cross. - Added adaptive lookback length based on timeframes. I don't recommend daytrading using multiple vortex timeframes, but it can be useful when screening/analyzing stocks.
Pine Script™ indicator
by JoeBlob
Laguerre FilterThis is the Laguerre Filter by John F. Ehlers. He published this filter design in the article Time Wrap - Without Space Travel. This study open gamma and weight of each filter for to customize the filter design. For example, setting gamma to 0.2, 0.7, 0.8,0.8 and weight 1,2,2,1, the curve is a very nice simulation to ALMZ(50), setting gamma to 0.3, 0.3, 0.8, 0.9 and weight of 1,3,3,1 will produce a curve close to EMA(20), basically, the Laguerre filter can simulate various type of moving averages. The beauty of this Filter is it use only one data point and 3 filters output to reproduce various moving average, it is an innovative approach to develop smoothing lines, and to avoid whipsaws on the price. Each filter can be plotted for evaluation too. Data of the first filter allows to input any bar, eg. 0 for current bar, 1 for one previous, for the purpose to evaluate forecasting idea. Follows Ehlers' paper, this study allows to plot the weighted average line with all filter off.
Pine Script™ indicator
by samsmilesam
1
7 Moving Averages [Plus]Moving Averages are price based, lagging (or reactive) indicators that display the average price of a security over a set period of time. A Moving Average is a good way to gauge momentum as well as to confirm trends, and define areas of support and resistance. Essentially, Moving Averages smooth out the “noise” when trying to interpret charts. Noise is made up of fluctuations of both price and volume. Because a Moving Average is a lagging indicator and reacts to events that have already happened, it is not used as a predictive indicator but as an interpretive one for confirmations and analysis. Bollinger Bands (BB) are a widely popular technical analysis instrument created by John Bollinger. The BB consist of a band of three lines which are plotted in relation to security prices. The line in the middle is usually a Simple Moving Average (SMA) set to a period of 20 days (the type of trend line and period can be changed by the trader; however a 20 day moving average is by far the most popular). The SMA then serves as a base for the Upper and Lower Bands which are used as a way to measure volatility by observing the relationship between the Bands and price. Typically the Upper and Lower Bands are set to two standard deviations away from the SMA (The Middle Line); however the number of standard deviations can also be adjusted by the trader. This script shows 6 moving averages and Bollinger Bands. Features: - Standard MA inputs. - MA type. - MA period. - MA source. - MA resolution (time frame). - MA Offset. - Forecasting : forcasted prices are calculated using our MAType and MASource for the MAPeriod. - Trail: Show only candles not included in the MA calculation. The color of MA1 depends on the chosen strategy, by default this is the 3EMA strategy. You can also select "Pivot Point Supertrend" or "Ichimoku Trend" Added "Parabolic Stop and Reverse (PSAR)" . The PSAR is a time and price technical analysis tool primarily used to identify points of potential stops and reverses. In fact, the SAR in Parabolic SAR stands for "Stop and Reverse". The indicator's calculations create a parabola which is located below price during a Bullish Trend and above Price during a Bearish Trend. Added "Linear Regression Channel" which can be correctly plotted on logarithmic charts. A linear regression channel consists of a median line with 2 parallel lines, above and below it, at the same distance. Those lines can be seen as support and resistance. The median line is calculated based on linear regression of the closing prices but the source can also be set to open, high or low. The height of the channel is based on the deviation of price to the median line. Extrapolating the channel forward can help to provide a bias and to find trading opportunities.
Pine Script™ indicator
by OskarGallard
3
Combo Backtest 123 Reversal & Laguerre-based RSI This is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy This is RSI indicator which is more sesitive to price changes. It is based upon a modern math tool - Laguerre transform filter. With help of Laguerre filter one becomes able to create superior indicators using very short data lengths as well. The use of shorter data lengths means you can make the indicators more responsive to changes in the price. WARNING: - For purpose educate only - This script to change bars colors.
Pine Script™ strategy
by HPotter
[blackcat] L2 Ehlers Laguerre FilterLevel: 2 Background John F. Ehlers introuced Laguerre Filter in his "Cybernetic Analysis for Stocks and Futures" chapter 14 on 2004. Function The Laguerre transform can be represented as an exponential moving average (EMA) low-pass filter (the first term) followed by a succession of allpass elements instead of unit delays (the k − 1 terms). All terms have exactly the same damping factor γ (gamma). We see that these are all pass networks by examining the frequency response. Dr. Ehlers made a filter using the Laguerre elements instead of the unit delay, whose coefficients are also /6 as with the FIR filter. The difference is that we have warped the time between the delay line taps. Key Signal FIR ---> Laguerre Filter fast line Filt ---> Laguerre Filter slow line Pros and Cons 100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style. Remarks The 33th script for Blackcat1402 John F. Ehlers Week publication. Readme In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts. The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works. Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element. Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level. Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated. Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop. Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
Pine Script™ indicator
by blackcat1402
8
Ehlers Laguerre Filter [CC]The Laguerre Filter was created by John Ehlers (Cybernetic Analysis For Stocks And Futures pg 216) and this indicator works well with letting you know both the short and long term trend as well as a pretty good moving average. If the indicator line is above the black line then it is a long term uptrend and below the black line is a long term downtrend. Buy when the indicator line is green and sell when it turns red. Let me know if there are other scripts you would like to see me publish or if you want something custom done!
Pine Script™ indicator
by cheatcountry
1
Laguerre RSI by KivancOzbilgic STRATEGYBacktesting. " Laguerre RSI is based on John EHLERS' Laguerre Filter to avoid the noise of RSI . Change alpha coefficient to increase/decrease lag and smoothness. Buy when Laguerre RSI crosses upwards above 20. Sell when Laguerre RSI crosses down below 80. While indicator runs flat above 80 level, it means that an uptrend is strong. While indicator runs flat below 20 level, it means that a downtrend is strong. " Developer: John EHLERS Author: KivancOzbilgic
Pine Script™ strategy
by mertriver1
8
Laguerre RSILaguerre RSI is based on John EHLERS' Laguerre Filter to avoid the noise of RSI. Change alpha coefficient to increase/decrease lag and smoothness. Buy when Laguerre RSI crosses upwards above 20. Sell when Laguerre RSI crosses down below 80. While indicator runs flat above 80 level, it means that an uptrend is strong. While indicator runs flat below 20 level, it means that a downtrend is strong. Developer: John EHLERS Author: KivancOzbilgic
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Pine Script™ indicator
by KivancOzbilgic
43
Trend-Following Combo-SuperTrend, EMA, Aroon, DMI, Laguerre RSIThis is a trend-following indicator which condenses two SuperTrend indicators -- one based on analysis over a shorter period of time (1.5, 7), and one based on analysis over a longer period of time (1.65, 100) -- into a single indicator which appears on your chart only when both the shorter- and longer-term analysis indicates a "SuperTrend" in the same direction. Additionally, potential trade entry indicators are displayed in the form of up and down arrows when (by default) three of the following five indicators suggest that the market is trending in the same direction as both the shorter- and longer-term SuperTrend indicators: EMA Crossover (8, 15) Aroon Indicator (8) Aroon Oscillator (8) Directional Movement Index (DI +/-) (8) Laguerre RSI (13) You may update the parameters of any of the indicators to match your own preferences. Additionally, you may also adjust the "Threshold" of indicators that must be in agreement with the SuperTrend to show a potential trade entry arrow. Bear in mind that if you set the Indicator Threshold too low, you will see more frequent trade entry arrows, many of which will not be profitable if taken. Similarly, set this value too high, and you will see fewer trade entry arrows that may not appear until after most of the "juice" in the trend has evaporated. Ideal values for the threshold seem to be between 2-4, depending on the symbol you are trading. The following image shows all of the indicators referenced above on a 5-minute chart of the SPY during a single trading day: And, here is the same period of time showing only the Trend-Following Combo indicator with default settings: This indicator would not have been possible save for work contributed by the following: SuperTrend by Rajandran R Aroon w/ crossovers highlighted by seiglerj Aroon Oscillator by jcrewolinsky Directional Movement Index by TradingView Laguerre RSI (Self Adjusting Alpha with Fractals Energy) by everget
Pine Script™ indicator
by jadamcraig
13
Moving Average Bundle3 Moving Average Lines. All parameters are configurable via user input. Each of these moving average lines already exist as individual indicators in TradingView. This script just bundles them for one stop shopping. It's helpful if you're limited by the number of indicators per chart. And highly educational: quickly compare the different averaging methods! sma: Simple Moving Average rma: Recursive Moving Average ema: Exponential Moving Average wma: Weighted Moving Average vma: Volume Weighted Moving Average wma: Weighted Moving Average alma: Arnaud Legoux Moving Average Note: Only Pine built-in functions are included.
Pine Script™ indicator
by brobear
4