Adaptive Laguerre Filter

The Adaptive Laguerre is based on the Laguerre filter, described by John Ehlers in his paper “Time Warp – Without Space Travel”. It applies a variable gamma factor, based on how well the filter is tracking previous price movement. As with other adaptive moving averages, the Adaptive Laguerre tracks trending markets closely but will see less changes in range-bound markets.

Indicator Description

The Adaptive Laguerre allows for an adjustment of the simple Laguerre filter. When price moves away from the filter, it becomes faster. When price moves sideward, the filter gets slower. Accordingly, this indicator belongs to the same class of moving average as the Kaufman Adaptive Moving Average (KAMA) and the Volatility Index Dynamic Average (VIDYA) developed by Tushar Chande. The Adaptive Laguerre is smoother than the VIDYA and will adjust slower to price action after consolidations.

Ehlers uses the bar center (H+L)/2 as input series. In NinjaSpeak this is called “Median”. NinjaTrader allows for setting this as default, however, it can then not be changed anymore. Therefore, we have not preset the indicator to “Median”, but let the user make the decision when applying the indicator to the chart. The reason for this is that other indicators call the Ehlers indicators to perform calculations on the bar high or low, such as the Gann HiLo Activator for example.

The indicator is available for NinjaTrader 8.