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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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October 20th, 2017
Size: 9.89 KB
Downloaded: 492 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: 319 times

Keywords: damping filter iir laguerre polynomials
NonLinear Moving Averages collection 5 *
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.


Category MultiCharts 
 
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January 22nd, 2012
Size: 49.54 KB
Downloaded: 444 times

Keywords: ehler fractals frama kama laguerre ma mama median movingaverage nonlinear vidya
Ehlers Collection for NT 7 5 *
Exported using NT Version 7.0.1000.3

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".

The following indicators are included:

- Adaptive Cyber Cycle
- Adaptive CCI
- Adaptive Center of Gravity
- Adaptive Laguerre Filter
- Adaptive Relative Vigor Indicator
- Dominant Cycle
- Dominant Cycle Oscillator
- Hilbert Sinewave Oscillator
- Hilbert Transform 2
- Instantaneous Trend
- Laguerre Filter
- Laguerre RSI
- Median Indicator
- Smoothed Adaptive Momentum

This collection of Ehlers indicators was originally submitted by Piersh. I have simply ported the indicators to NinjaTrader 7.


Category NinjaTrader 7 Indicators 
 
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Details: Ehlers Collection for NT 7
Category: NinjaTrader 7 Indicators 


February 20th, 2011
Size: 35.71 KB
Downloaded: 2724 times

Keywords: adaptive cci centerofgravity cybercycle dominantcycle filter hilbert laguerre median momentum rvi sinewave transform trend
LaguerreRSI
Exported using NT6.5.1000.9

Laguerre filter, based on description by John Ehlers (https://www.mesasoftware.com/Papers/TIME%20WARP.pdf)

All credit for the code work on this goes to jhl...all I did was debug it for NT6.5.





Category NinjaTrader 6.5 Indicators 
 
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Details: LaguerreRSI
Category: NinjaTrader 6.5 Indicators 


November 9th, 2010
Size: 2.23 KB
Downloaded: 89 times

Keywords: laguerre rsi
Laguerre RSI 5 *
The Laguerre RSI indicator from "Cybernetic Analysis for Stocks and Futures" by Ehler. This is a port to ThinkorSwim.

version 1.0


Category ThinkOrSwim 
 
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July 24th, 2010
Size: 678 bytes
Downloaded: 582 times

Keywords: laguerre rsi thinkorswim
MEF Buy/Sell zones 4 *
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.

Ivan Jocic (MEF)


Category NinjaTrader 7 Indicators 
 
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July 6th, 2010
Size: 45.46 KB
Downloaded: 1359 times

Keywords: ivanjocic laguerre strength trend zones forex
Adaptive Laguerre Moving Average 5 *
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)

NinjaTrader 6.5: YES - ZTrade101
NinjaTrader 7.0: YES - ZTrade101


Category The Elite Circle 
 
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February 5th, 2010
Size: 4.16 KB
Downloaded: 1604 times

Keywords: average itguy laguerre
Laguerre (MetaTrader)
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.


Category MetaTrader 5 Indicators 
 
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December 20th, 2009
Size: 3.09 KB
Downloaded: 62 times

Keywords: laguerre metatrader mq5 mt5
Laguerre (MetaTrader) 5 *
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.


Category MetaTrader 4 Indicators 
 
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December 20th, 2009
Size: 2.74 KB
Downloaded: 187 times

Keywords: laguerre metatrader mq4 mt4
 



 
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