everget

Adaptive Laguerre Filter

Adaptive Laguerre Filter indicator script.

The Adaptive Laguerre Filter was originally developed and described by John Ehlers in his paper `Time Warp – Without Space Travel`.

Thanks to @apozdnyakov for the sorting solution.
Catatan Rilis: Correct sorting
Catatan Rilis: Refactored
Catatan Rilis: Refactored
Catatan Rilis:
  • Add coloring
Catatan Rilis:
  • Added an alert on color change
  • Refactored
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Komentar

@everget Hey mate! any way to make an alert trigger when the line changes color? Cheers
+1 Jawab
everget novak.aleksey
@novak.aleksey, Hi. I did it 1 month ago. Sorry for the late response.
Jawab
@everget @brobear
Quite new to trading and don't know coding, but did you think of adding a kind of BB (standard deviation) to this wonderful line? Think it would show reversals quite nicely.
Thank you!
+1 Jawab
Nice work! Thanks for sharing :)

After going through the code, I convinced myself of some changes... Can you verify?

1) Line 16: replace "length" with "medianLength"
2) Line 13: replace "i" with "(i-1)"
...if medianLength = 5, then ceil(medianLength/2) = 3. If line 13 iterates from 0 to 3, that's 4 iterations. Thus grabbing the 4th minimum value, not the 3rd (median of 5).


Here's my rendition of the adaptive part of the Laguerre filter:

length = 20
medianLength = 5
alpha = na
alf = na

error = abs(src - nz(alf))
range = highest(error, length) - lowest(error, length)
perc = range != 0 ? (error - lowest(error, length))/range : nz(alpha)
alpha := percentile_nearest_rank(perc, medianLength, 50.0) // Get value in the set, where 50% of all values are <= this value
//alpha := percentile_linear_interpolation(perc, medianLength, 50.0) // A variation on Ehler's definition

// ... continue with Laguerre filter

----------------------------------

Ironically, I like the behavior of your code, where the 4th value (instead of 3rd) is returned for alpha. This makes the filter more responsive, while still mitigating noise. In my code, if I set the percentile to 75.0 (instead of 50.0), I get the same results as your code.

Cheers
+1 Jawab
everget brobear
@brobear, Hi, thanks for your comments. I agree with you)
+1 Jawab
levith brobear
@brobear, @brobear, 1) Line 16: replace "length" with "medianLength"
2) Line 13: replace "i" with "(i-1)"
...if medianLength = 5, then ceil(medianLength/2) = 3. If line 13 iterates from 0 to 3, that's 4 iterations. Thus grabbing the 4th minimum value, not the 3rd (median of 5).
I can't find the corresponding code,can you post a complete script? thank you!
Jawab
everget levith
@levith, look at the changelog - there were many updates. The current version is correct
Jawab
levith everget
@everget, 0!thank you!
Jawab
Thanks for the code! Works great combined with added volatility bands to the ALF.
Jawab
WagnerOG ecletv
@ecletv, could you share a link to the volatility script you are using? Thanks.
Jawab
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