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Lag Calculation for Octave (MatLab) 1 *
This script is inspired by John Ehlers works on using DSP for trading. His books and articles contain formulas that estimate lag for some indicators. However, how to estimate lag in general case?

This script uses the DFT Phase Response (PhR) to make this estimation. The negative shift in the PhR pushes the values to the right, thus delaying the signal. The raw PhR returns the angle value. However, we want to estimate lag in terms of bars (time delay). To do it, we need to take an account the frequency (or period) of the phase:

Lag = | min(Phase * Period) | = | min(Phase / Frequency) |

Then we need to take the minimal value and take its absolute value. We skip all frequencies above 0.5 (the maximum possible without aliasing).

Version: 0.1.1

Examples:

SMA(3):

>> a = [1];
>> b = [1/3,1/3,1/3];
>> lag(b,a)
ans = 1.0000

EMA(0.1):

>> a = [1,-0.9];
>> b = [0.1];
>> lag(b,a)
ans = 9.0000

Category The Elite Circle  		 
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Category: The Elite Circle 


June 30th, 2014
Size: 2.17 KB
Downloaded: 1 times
Lagged Moving Average Crossover 3 *
Simple strat that waits a certain number of periods before using the moving average crossover signal.

Here is the thread where it is discussed.
www.bigmiketrading.com/ninjatrader-programming/14365-ninja-trader-strategy-wait-10-bars-before-entering-into-trade.html


Category NinjaTrader 7 Strategies  		 
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Details: Lagged Moving Average Crossover
Category: NinjaTrader 7 Strategies 


October 26th, 2011
Size: 2.75 KB
Downloaded: 800 times

Keywords: average cross crossover moving over lagged
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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Details: Laguerre (MetaTrader)
Category: MetaTrader 4 Indicators 


December 20th, 2009
Size: 2.74 KB
Downloaded: 192 times

Keywords: laguerre metatrader mq4 mt4
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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Category: MetaTrader 5 Indicators 


December 20th, 2009
Size: 3.09 KB
Downloaded: 72 times

Keywords: laguerre metatrader mq5 mt5
Laguerre ECO 4 *
Richard from MoveTheMarkets wrote this indicator. Visit his blog here:
https://www.movethemarkets.com/blog/2009/09/23/laguerre-eco-ergodic-candle-oscillator-indicator/


Richard
Most indicators out there run on bars. Let’s take a 3-period moving average. You compute it on the Close, the previous Close, and the Close before that. Well, what if you used 3 other values in your average, instead of the last three prices? Like, what if you used the current value of the 2-EMA, 5-EMA, and 8-EMA and computed the average of those instead?

Ehlers uses the 4-RSI as an example application of the Laguerre treatment. Instead of the last 4 Closes, he uses 4 Laguerre values. Using only four values makes the indicator turn quickly, but you can adjust the overall speed of the output via the gamma input to the transform. Pretty neat!

In July, I looked around briefly to see what other Laguerre indicators were out there. Surprisingly, I couldn’t find any. I thought that was strange, because all you have to do is plug in the Laguerre values you need and see what happens. I coded up a few, and found the the Ergodic Candle Oscillator looked pretty good Laguerre-ized.

COMPATIBILITY:
NinjaTrader 6.5: YES
NinjaTrader 7.0: YES (tested by sam028)


Category NinjaTrader 6.5 Indicators  NinjaTrader 7 Indicators  		 
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Details: Laguerre ECO
Category: NinjaTrader 6.5 Indicators  NinjaTrader 7 Indicators 


September 26th, 2009
Size: 5.89 KB
Downloaded: 1158 times

Keywords: laguerre ehlers eco bmt ninjatrader
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: 376 times

Keywords: damping filter iir laguerre polynomials
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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Details: Laguerre RSI
Category: ThinkOrSwim 


July 24th, 2010
Size: 678 bytes
Downloaded: 601 times

Keywords: laguerre rsi thinkorswim
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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November 9th, 2010
Size: 2.23 KB
Downloaded: 91 times

Keywords: laguerre rsi
LargeTrades indicator NT8 5 *
Email me for improvements or suggestions

I use it in one of my autostrategies with success. The basic code comes from a Russian expert.
Combined with some trend direction indicator is a powerful tool to see the supply / demand.

Displays the major transactions that have taken place during
short period of time and at the same price (Limit buyer / seller)

Default settings to adjust :

LargeVolume = 500; (adjust to your instrument)
TradeTime = false; (if true plot date/time of large trade)




Trade safe

bcomas


Category NinjaTrader 8 Indicators and More  		 
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Details: LargeTrades indicator NT8
Category: NinjaTrader 8 Indicators and More 


February 21st, 2021
Size: 2.90 KB
Downloaded: 785 times
LargeTrades Strategy NT8 5 *
Coded by bcomas July 2020. Email me for improvements or suggestions.

Trading the major transactions that have taken place during
short period of time and at the same price (Limit buyer / seller)

Scalping 1 minute timeframe . Catching the excess of volume.

Updated Version at October 2020

Download at: https://ninjatraderecosystem.com/user-app-share-download/largetrades-strategy-nt8-update/

* Days of the week
* OrderFlow Cumulative Delta option (Life time licences only)
* Boost if profit using the ATM option
* BreakEven option
* Halt trading if the account drops or reach the account target
* Prior Day HL visulal on chart

- Optimized for the Futures instrument MYM
- Fixed minor bugs

Parameters

vol = 150;
fix = 1;

// StopLoss & ProfitTarget
UseProtectiveStops = true;
StopLoss = 80;
ProfitTarget = 100;

// Daily Target
Contracts = 1;
DailyLossLimit = -100;
DailyProfitLimit = 100;
DailyTradesCount = 1;

// Email alerts
UseEmail = false;
EnableEntryAlert = false;
EnableExitAlert = false;
toEmailAddress = @"";

// Times
Session1 = true;
Session1Start = 0;
Session1End = 223059;

Session2 = false;
Session2Start = 90000;
Session2End = 110000;

Session3 = false;
Session3Start = 120000;
Session3End = 125900;


Category NinjaTrader 8 Indicators and More  		 
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Details: LargeTrades Strategy NT8
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July 4th, 2020
Size: 9.83 KB
Downloaded: 1260 times
 

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