Banzai wrote: Fri Dec 05, 2025 6:54 pm Laguerre Filters

TradeStation: July 2025
In “Laguerre Filters” in this issue, John Ehlers presents a trend-trading technique using the Laguerre filter. Since Laguerre filters excel at smoothing long-wavelength components in a data set, this makes them particularly well-suited for identifying trading trends.

Code: Select all

Function: Laguerre Filter
{
	TASC JUL 2025
	Laguerre Filter
	(C) 2002-2025 John F. Ehlers
}

inputs:
	Gama( .8 ),
	Length( 40 );

variables:
	L0( 0 ),
	L1( 0 ),
	L2( 0 ),
	L3( 0 ),
	L4( 0 ),
	Laguerre( 0 );
	
L0 = $UltimateSmoother(Close, Length);
L1 = -Gama * L0[1] + L0[1] + Gama * L1[1];
L2 = -Gama * L1[1] + L1[1] + Gama * L2[1];
L3 = -Gama * L2[1] + L2[1] + Gama * L3[1];
L4 = -Gama * L3[1] + L3[1] + Gama * L4[1];

Laguerre = (L0 + 4*L1 + 6*L2 + 4*L3 + L4) / 16;


Plot1( Laguerre );
Plot2( L0 );


Indicator: Laguerre Oscillator
{
	TASC JUL 2025
	Laguerre Oscillator
	(C) 2002-2025 John F. Ehlers
}

inputs:
	Gama( .5 ),
	Length( 30 );

variables:
	L0( 0 ),
	L1( 0 ),
	RMS( 0 ),
	LaguerreOsc( 0 );

L0 = $UltimateSmoother(Close, Length);
L1 = -Gama * L0 + L0[1] + Gama * L1[1];
RMS = $RMS(L0 - L1, 100);

if RMS <> 0 then 
	LaguerreOsc = (L0 - L1) / RMS;
	
Plot1( LaguerreOsc, "Laguerre Osc" );
Plot2( 0, "Zero Line" );

Function: $RMS
{
	RMS Function
	(C) 2015-2025 John F. Ehlers
}

inputs:
	Price( numericseries ),
	Length( numericsimple );

variables:
	SumSq( 0 ),
	count( 0 );

SumSq = 0;

for count = 0 to Length - 1 
begin
	SumSq = SumSq + Price[count] * Price[count];
end;

If SumSq <> 0 then 
	$RMS = SquareRoot(SumSq / Length);

Function: $SuperSmoother
{
	UltimateSmoother Function
	(C) 2004-2025 John F. Ehlers
}

inputs:
	Price( numericseries ),
	Period( numericsimple );
	
variables:
	a1( 0 ),
	b1( 0 ),
	c1( 0 ),
	c2( 0 ),
	c3( 0 ),
	US( 0 );
	
a1 = ExpValue(-1.414*3.14159 / Period);
b1 = 2 * a1 * Cosine(1.414*180 / Period);
c2 = b1;
c3 = -a1 * a1;
c1 = (1 + c2 - c3) / 4;

if CurrentBar >= 4 then 
 US = (1 - c1)*Price + (2 * c1 - c2) * Price[1] 
 - (c1 + c3) * Price[2] + c2*US[1] + c3 * US[2];
 
if CurrentBar < 4 then 
	US = Price;

$UltimateSmoother = US;