_SECTION_BEGIN("Laguree RSI");
SetBarsRequired(200, 0);

// Ehlers formulas
// from Ehlers, John F. Cybernetic Analysis for Stocks and Futures. Wiley. 2004. 
// Chapter 14, p. 213. Code on p. 221.

function LRSI(array, gamma)
// Figure 14.8 on p. 221.
{
  L0 = array;  // Initialize as array
  L1 = array;
  L2 = array;
  L3 = array;
  LRSIValue = array;

  for(i = 1; i < BarCount; i++)
  {
     L0 = (1 - gamma)*array + gamma*L0[i-1];
     L1 = - gamma * L0 + L0[i-1] + gamma * L1[i-1];
     L2 = - gamma * L1 + L1[i-1] + gamma * L2[i-1];
     L3 = - gamma * L2 + L2[i-1] + gamma * L3[i-1];

     CU = 0;
     CD = 0;
     if (L0 >= L1) CU = L0 - L1; else (CD = L1 - L0);
     if (L1 >= L2) CU = CU + L1 - L2; else CD = CD + L2 - L1;
     if (L2 >= L3) CU = CU + L2 - L3; else CD = CD + L3 - L2;

     if (CU + CD != 0) LRSIValue = CU / (CU + CD);
  }
  return LRSIValue;
}

Plot(LRSI(C, 0.5), "Laguerre RSI", colorRed, styleLine);
PlotGrid(.8);
PlotGrid(.5);
PlotGrid(.2);
_SECTION_END();

_SECTION_BEGIN("Fisher Transform");
SetBarsRequired(200, 0);

// Ehlers formulas
// from Ehlers, John F. Cybernetic Analysis for Stocks and Futures. Wiley. 2004. 
// Chapter 1, p. 1. Code on p. 7.

function InverseFisher(array)
{
  e2y = exp(2 * array);
  return (e2y - 1)/(e2y + 1);
}

function Normalize(array, arraylen)
// Figure 1.7 on p. 7
{
  MaxH = HHV(array, arraylen);
  MinL = LLV(array, arraylen);
  Value1[0] = array[0];  // Initialize as array

  for(i = 1; i < BarCount; i++)
  {
     Value1 = .5 * 2 * ((array - MinL) / (MaxH - MinL) - .5) + .5 * Value1[i-1];
     if (Value1 > .9999) Value1 = .9999;
     if (Value1 < -.9999) Value1 = -.9999;
  }
  return Value1;
}

function Fisher(array)
// Figure 1.7 on p. 7
{
  F = array;
  F = .25 * log((1+ array)/(1 - array)) + .5 * Ref(F, -1);
  return F;
}

Med = (H+L)/2;

// Fisher Transform
FisherXform = Fisher(Normalize(Med, 10));
Plot(FisherXform, "Fisher Transform", colorRed, styleLine);
Plot(Ref(FisherXform, -1), "", colorBlue, styleLine);
PlotGrid(2);
PlotGrid(-2);

Attachments:
Laguerre RSI.pane - 10 KB, downloaded 745 time(s).
Fisher Transform.pane - 11 KB, downloaded 710 time(s).

Bruce:

You've listed a pcf for the Laguerre RSI with a gamma of .5.  Could I bother you to give us pcf's with gammas of .6 and .8.

Thanks.

Nicholas

Bruce,

I found the topic about the laguerre RSI but not clear about a couple things.  First, do you have a formula that will provide an indicator on the chart showing the correct Laguerre RSI values?

Also, if the indicator is possible can this be scanned for crossing selected values?

Even if the indicator is not possible can it still be scanned? 

I am interested in a formula witha a gamma value of .9 and obviously it would be best to have an indicator where the value can be changed.

Thanks,

David

You can use a 19 period exponential moving average in the formula for a gamma of .9.

(ABS(C >= XAVGC19.1) * (XAVGC19 - XAVGC19.1) + ABS(C1 >= XAVGC19.2) * (XAVGC19.1 - XAVGC19.2) + ABS(C2 >= XAVGC19.3) * (XAVGC19.2 - XAVGC19.3)) / (ABS(XAVGC19 - XAVGC19.1) + ABS(XAVGC19.1 - XAVGC19.2) + ABS(XAVGC19.2 - XAVGC19.3) + .0000001)

The only way to really convert the formulas is to convert the gamma into the correct period exponential moving average. There is no way to create a Custom PCF Indicator for this which would just allow you to enter the gamma into the formula.