Laguerre Filter

The Laguerre Filter for NinjaTrader 8

This is a four element Laguerre Filter as described by John Ehlers in his paper “Time Warp – Without Space Travel”. 

Indicator Description

The Laguerre Filter is a smoothing filter based on Laguerre polynomials. Its first term is an EMA, which is then further smoothened with a damping factor. The damping factor may take any value between 0 and 1. When the damping factor is set to 0, the indicator becomes a finite impulse response (FIR) filter. When the damping factor is set to a value close to 1, the filter becomes dramatically smoother, but will have a significant lag.

The indicator that can be downloaded here is a four element Laguerre Filter. The damping factor has been replaced with a synthetic lookback period which allows for adjusting smoothness and lag. A lookback period of 1 corresponds to a simple 4-period triangular moving average.

The indicator is available for NinjaTrader 8.