Adaptive Laguerre Filter

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 filter 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). It similar to the Volatility Index Dynamic Average (VIDYA) developed by Tushar Chande. The Adaptive Laguerre filter 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, the indicator is not preset to “Median”, users can make that decision when applying it 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.

Ehlers introduces the background for the development of the Laguerre filters as follows: “One of the most frustrating aspects of technical analysis is trying to avoid whipsaw trades. When the moving averages are made smoother to avoid these whipsaws, the lag produced by the smoothing often renders the signals to be ineffective. The dilemma is therefore how to strike a balance between the amount of smoothing that can be obtained and the amount of lag that can be tolerated. In this article, I introduce a new tool to address the smoothing versus lag problem more effectively.”

The full article is found here.

Other Library indicators

This category also includes the Laguerre Filter, the Butterworth Filter, the Coral Filter, the Gaussian Filter, the Distant Coefficient Filter, the MAAF and the Supersmoother Filter. You may also review our indicators from the moving averages or the trend analysis categories, such as the Directional Movement Index, Zerolag TEMA, Zerolag HATEMA, Triple Weighted Moving AverageSine WMA, Range Weighted Moving Average or the Efficiency Ratio. The Indicator Spotlight newsletter furthermore discussed the Kaufman Efficiency Ratio.

The Adaptive Laguerre Filter is available for NinjaTrader 8.