Laguerre RSI
Laguerre RSI is an AmiBroker AFL that merges Laguerre filtering with the Relative Strength Index (RSI). Leveraging AmiBroker data feed, it offers a smoothed RSI, aiding traders in spotting overbought and oversold market conditions with improved clarity and reduced noise.
/SetBarsRequired(200, 0);
// Ehlers formulas
// from Ehlers, John F. Cybernetic Analysis for Stocks and Futures. Wiley. 2004.
// Chapter 14, p. 213. Code on p. 221.
function LRSI(array, gamma)
// Figure 14.8 on p. 221.
{
L0 = array; // Initialize as array
L1 = array;
L2 = array;
L3 = array;
LRSIValue = array;
for(i = 1; i < BarCount; i++)
{
L0[i] = (1 - gamma)*array[i] + gamma*L0[i-1];
L1[i] = - gamma * L0[i] + L0[i-1] + gamma * L1[i-1];
L2[i] = - gamma * L1[i] + L1[i-1] + gamma * L2[i-1];
L3[i] = - gamma * L2[i] + L2[i-1] + gamma * L3[i-1];
CU = 0;
CD = 0;
if (L0[i] >= L1[i]) CU = L0[i] - L1[i]; else (CD = L1[i] - L0[i]);
if (L1[i] >= L2[i]) CU = CU + L1[i] - L2[i]; else CD = CD + L2[i] - L1[i];
if (L2[i] >= L3[i]) CU = CU + L2[i] - L3[i]; else CD = CD + L3[i] - L2[i];
if (CU + CD != 0) LRSIValue[i] = CU / (CU + CD);
}
return LRSIValue;
}
Plot(LRSI(C, 0.5), "Laguerre RSI", colorRed, styleLine);
PlotGrid(0.8 ,colorLightGrey );
PlotGrid(0.5,colorLightGrey);
PlotGrid(0.2,colorLightGrey);