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)
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".
This is a collection of various filters by John Ehlers outlined in his excellent books "Rocket Science for Traders" and "Cybernet Analysis for Stocks and Futures"
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.
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)
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.