Laguerre rsi trading system
I remember reading about system Laguerre Filter and Laguerre RSI many years ago when they first appeared on the scene. At the trading I was not nearly into quantitative trading as I am today. Laguerre RSI LRSI was authored by John Ehlers. At the heart of the LRSI indicator is the Laguerre Transform. The mathematics and explication of the Laguerre filter is well beyond the scope of this laguerre or my understanding. The standard Relative Strength Index RSI was authored by Wells Wilder. The LRSI uses the current price, a user defined gamma factor, and plenty of feedback to calculate its final value. Below is the EasyLanguage code:. The LRSI behaves in a similar manner to the classic RSI. Several profitable trading laguerre can be built with this indicator that produce surprising solid results for nearly 20 years. The basic rules for the 2-period RSI is to buy when the RSI value falls below a threshold, such as Then sell the position when the price rises above a threshold, such as The bottom pane contains the RSI signal. The LRSI would be traded in a similar fashion. Buying when the value falls below a critical threshold, and closing the trade rsi it rises above a threshold. You can see when both indicators fall, they rsi setups for opening trades. Before getting into the details of the results, let me say this: Unless otherwise stated, all the tests system this article are going to use the following assumptions:. The LRSI will enter a trade when the value falls below. The results are in the table below. In this test we can see the baseline and LRSI perform very similar. We end up with about the same net profit and very similar annual returns. The maximum intraday drawdown for the LRSI is higher. So if you can endure more drawdown, you can trade a model which makes similar amount of profit on fewer trades. That is, we see RSI and LRSI make about the same amount of net profit. LRSI does this on fewer trades but it also has more drawdown. In this particular case, LRSI is probably producing slightly better results than RSI. Next is NASDAQ NQ. Looking at the results for NASDAQ we can see LRSI actually performs significantly better. More than three times as much profit on fewer trades. We can then apply our trading models to this entire basket. This will allow me to generate a summary of our two trading models over all rsi markets we looked at. Only one contract was traded laguerre signal. In this respect the trading models are system identical. So which one is better? It comes down to what you trading with regards to drawdown and trading of trades. It looks like they both end up at the same location but take slightly different roads to get there. Notify me of followup comments via e-mail. You can also subscribe without commenting. Download this free guide on how to stop curve fitting. Following these four simple steps can improve your trading dramatically! About Us Blog Contact Free Rsi State of U. Markets Live Trading Results. Recent Posts Seasonality in the Bond Market? Using Metals to Trade Bonds MCVI Indicator and Strategy on Daily Charts Market Seasonality Study Open Up! Connors 2-Period Laguerre Update For This Simple Indicator Makes Money Again and Again. The Most Important Performance Measure. Improving The Simple Gap Strategy, Part 1. A Different Kind of System…. Categories Buying And Leasing Coding Lab Development Tools Indicators Market Studies News Quick Tip Strategies Strategy Development System Development Trading Live. Can the Laguerre RSI perform better than our standard 2-period RSI? Below is the EasyLanguage code for a 4-element Laguerre filter. Below is the EasyLanguage code: Baseline RSI 2 performance. Baseline RSI 2 performance vs LRSI. Previous Post The Art system Crafting an Automated Trading Strategy Next Post Best Day Of The Week To Trade. About Trading Futures Disclaimer Income Disclaimer Terms of Service Privacy Policy. Learn To STOP Curve Fitting!
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