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A simple system based on Ehlers Laguerre RSI
Last Activity 3/29/2020 2:28 AM
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Bob McFarland

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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 - 598 downloads)
Attached file : sysLaguerreRSI.txt (2KB - 516 downloads)

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George Beaudin

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Subject : RE: A simple system based on Ehlers Laguerre RSI
Posted : 6/28/2006 2:21 PM
Post #2513 - In reply to #2511

Bob,

Did you produce this as indicator/system for Omnitrader?

Saw a post in the Camarilla that made reference to this.

George
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Bob McFarland

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Subject : RE: A simple system based on Ehlers Laguerre RSI
Posted : 6/28/2006 5:56 PM
Post #2517 - In reply to #2513

Yes I wrote sysLaguerreRSI but it is derived from indLaguerreRSI which is in Ehlers book "Cybernetic Analysis for Stocks and Futures". I simply took his comment in the text to go Short when LRSI goes below .8 and Long when it goes above .2 and then added some more code to reverse the trade if there is a whipsaw (i.e. it crosses under .8 but doesn't go below .2 but instead rises back above .8 etc.).

I wouldn't be surprised if others may have easily had the same idea reading the book.

Regardless, yes I wrote it and posted it in this forum for OmniTrader Pro users.

Bob
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Daniel Wilson

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Subject : RE: A simple system based on Ehlers Laguerre RSI
Posted : 3/22/2020 12:53 PM
Post #30984 - In reply to #2511


Here’s a video on this trading system-

RSI Laguerre Time with Energy Fractals

https://youtu.be/XO2kpod3H14

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JB

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Subject : RE: A simple system based on Ehlers Laguerre RSI
Posted : 3/23/2020 4:53 PM
Post #30985 - In reply to #2511

Bob thanks for posting it certainly looks interesting. Does any one know if there is a fractal energy indicator conversion to O/L?
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wolf

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Subject : RE: A simple system based on Ehlers Laguerre RSI
Posted : 3/29/2020 2:28 AM
Post #30996 - In reply to #2511

Hello,
I tried to define the settings for Chart Option, however the results are wrong. See attachment. Is anybody able to correct it.
Thank you in advance
Wolfgang

[Edited by wolf on 3/29/2020 2:31 AM]

Attached file : Chartoptions Laguerre RSI_Mistake.PNG (74KB - 23 downloads)

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