[blackcat] L2 Ehlers Laguerre Filter

30 paź 2020

Level: 2

Background

John F. Ehlers introuced Laguerre Filter in his "Cybernetic Analysis for Stocks and Futures" chapter 14 on 2004.


Function

The Laguerre transform can be represented as an exponential moving average (EMA) low-pass filter (the first term) followed by a succession of allpass elements instead of unit delays (the k − 1 terms). All terms have exactly the same damping factor γ (gamma). We see that these are all pass networks by examining the frequency response. Dr. Ehlers made a filter using the Laguerre elements instead of the unit delay, whose coefficients are also [1 2 2 1]/6 as with the FIR filter. The difference is that we have warped the time between the delay line
taps.


Key Signal

FIR ---> Laguerre Filter fast line
Filt ---> Laguerre Filter slow line


Pros and Cons

100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.

Remarks

The 33th script for Blackcat1402 John F. Ehlers Week publication.

Readme

In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.

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