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Bob McFarland

Elite
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Posts: 669

Joined: 3/22/2006
Location: Georgetown, TX

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Subject : A simple system based on Ehlers Laguerre RSI
Posted : 6/27/2006 11:34 PM
Post #2511
This looks pretty impressive to me. In playing with Ehlers Laguerre RSI, I found that not only could you get a really responsive RSI with only 2 bars of data as Ehlers showed, you could actually cut it down to 1.5 bars (a weird concept given daily data) and get an even more responsive indicator (very quick to sense reversals) without much more noise (whipsaws).

From this I developed the attached simple system which has a simple means of dealing with the inevitable whipsaws.

In general, this system seems to generate some whipsaws with minimal gains and losses (mostly washes over time) but gets a profitable trade on virtually all the major moves and even quite a few minor moves and reverses very close to the pivot points. Bottom line: lots of trades, those that whipsaw averaged together don't seem to matter much but gets just about all the profitable trades. Small losses, big gains = looks interesting, especially for a trading robot.

Check it out on Smooth Movers.

Bob
Attached file : indLaguerreRSI.txt (2KB - 1085 downloads)
Attached file : sysLaguerreRSI.txt (2KB - 985 downloads)

Deleting message 2511 : A simple system based on Ehlers Laguerre RSI


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