This is a four element Laguerre Filter as described by John Ehlers in his paper "Time Warp - Without Space Travel".
The Laguerre Filter is a smoothing filter based on Laguerre polynomials. Its first term is an EMA, which is then further smoothened with a damping factor. The damping factor may take any value between 0 and 1. When the damping factor is set to 0, the Laguerre Filter becomes a finite impulse response (FIR) filter. When the damping factor is set to a value close to 1, the filter becomes dramatically smoother, but will have a significant lag.
The indicator that can be downloaded here is a four element Laguerre Filter. I have replaced the damping factor with a synthetic lookback period which allows for adjusting smoothness and lag. A lookback period of 1 corresponds to a simple 4-period triangular moving average.
LaguerreFilter(1) = TMA(4)
When the synthetic lookback period is increased, the filter becomes smoother but has a slower response to price changes.
Attached is a collection of 7 NonLinear Moving Averages and their functions for easy use in backtesting. Every indicator also contains an option to color the line to signal up and downtrends, and the user can specify these colors.
This pack include the following moving averages:
KAMA (Kaufman Adaptive Moving Average),
VIDYA (Variable Index Dynamic Average),
MAMA (MESA Adaptive Moving Average),
Ehlers Filter,
Median-MA Difference Filter,
FRAMA (Fractal Adaptive Moving Average),
NonLinear Laguerre Filter.
If you want to import a specific indicator, uncheck the other ones while importing them in MultiCharts.
The example screenshot just shows one nonlinear moving average to give an idea.
Source: John Ehler's presentation 'Building Trading Systems on NonLinear Filters' at the TradeStationWorld 2005 Expo.
This is a collection of various filters by John Ehlers outlined in his books "Rocket Science for Traders" and "Cybernet Analysis for Stocks and Futures".
I wanted to share with you an indicator I've developed putting together Laguerre RSI, Laguerre Filter and TrendStrengthA indicators.
I've tried to isolate zones that are favorable for longs and other for shorts. Where you see transparent zone I've noticed that those are useful adding to a position or eventual reverse.
I've tried it on range, but also a minute charts and they seems to work on both.
Indicator was developed for forex. Maybe it will work well on other securities.
Hope that you'll find it useful. Any comments would be highly appreciated.
Exported using NT7 b18 but should be working on 6.5 too.
A special class of filters which "warps" short data arrays to provide extremely responsive, but very smooth movement.
This indicator also includes coloring based on slope, alerts both audio and visual chart markers. All parameters are configurable and by changing the signal mode from between 1-4 you can make the alerts happen faster.
This works on all instruments, the buffer ticks (used to determine crossovers) are based on the instruments digits so ES one tick is 0.25 where as EURUSD would be .0001
(I commissioned this indicator and it is not copyrighted feel free to modify the code)
Laguerre MetaTrader indicator — a completely custom indicator that doesn't rely on the standard MT4/MT5 indicators. It shows the weighted trendline in the separate window of the chart. It can be used for easy entry and exit signals.
Input parameters:
gamma (default = 0.7) — multiplier that is used in the line's levels calculation. The higher it is the smoother is the line.
CountBars (default = 950) — the maximum amount of bars for which to calculate this indicator. Set as high as possible if you don't experience performance problems.
Laguerre MetaTrader indicator — a completely custom indicator that doesn't rely on the standard MT4/MT5 indicators. It shows the weighted trendline in the separate window of the chart. It can be used for easy entry and exit signals.
Input parameters:
gamma (default = 0.7) — multiplier that is used in the line's levels calculation. The higher it is the smoother is the line.
CountBars (default = 950) — the maximum amount of bars for which to calculate this indicator. Set as high as possible if you don't experience performance problems.