Laguerre RSI

Category: momentum, trend

An adaptive momentum oscillator that uses Laguerre polynomials to provide a smoother, less-laggy signal compared to traditional RSI. It oscillates between 0 and 1, highlighting overbought and oversold conditions.

Formula

L0 = (1 - \gamma) \cdot Price + \gamma \cdot L0_{prev} \\ L1 = -\gamma \cdot L0 + L0_{prev} + \gamma \cdot L1_{prev} \\ L2 = -\gamma \cdot L1 + L1_{prev} + \gamma \cdot L2_{prev} \\ L3 = -\gamma \cdot L2 + L2_{prev} + \gamma \cdot L3_{prev} \\ CU = \text{Sum of positive differences between L levels} \\ CD = \text{Sum of negative differences between L levels} \\ LaguerreRSI = \frac{CU}{CU + CD}

Inputs

• Gamma (default: 0.7)
• CountBars (default: 950)
• TimeFrame (default: PERIOD_CURRENT)
• UpperLevel (default: 0.80)
• LowerLevel (default: 0.20)

See signal primitives and every published strategy that uses Laguerre RSI on WOBR StrategyVerse.