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Adaptive Laguerre Filter (amaAdaptiveLaguerreFilter) 5 *
Version 1.1 August 1, 2017

This is a four element Adaptive 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 Adaptive Laguerre Filter is based on the simple Laguerre Filter, but uses a variable damping factor. The damping factor is adjusted such that low frequency components are delayed more than high frequency components. The resulting filter is an adaptive moving average and can be compared to the Kaufman Adaptive Moving Average (KAMA) or the Variable Index Dynamic Average (VIDYA).


Category NinjaTrader 8 Indicators and More 
 
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Details: Adaptive Laguerre Filter (amaAdaptiveLaguerreFilter)
Category: NinjaTrader 8 Indicators and More 


October 20th, 2017
Size: 9.89 KB
Downloaded: 599 times

Keywords: adaptive damping filter iir laguerre polynomials
Laguerre Filter (amaLaguerreFilter) 5 *
Version 1.0 March 6, 2017

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.


Category NinjaTrader 8 Indicators and More 
 
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Details: Laguerre Filter (amaLaguerreFilter)
Category: NinjaTrader 8 Indicators and More 


October 20th, 2017
Size: 2.67 KB
Downloaded: 374 times

Keywords: damping filter iir laguerre polynomials
 


 
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