John Ehlers is a name you’ll run across when you start your journey into testing various indicators and filters to be used in your trading models. I remember reading about the Laguerre Filter and Laguerre RSI many years ago when they first appeared on the scene. At the time I was not nearly into quantitative trading as I am today. So let’s take a closer look at the Laguerre RSI and answer a simple question: Can the Laguerre RSI perform better than our standard 2-period RSI? Laguerre RSI (LRSI) was authored by John Ehlers. You can read about the Laguerre filter in his article, “Time Warp – Without Space Travel“. At the heart of the LRSI indicator is the Laguerre […]Read more ›
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The Fractal Adaptive Moving Average aka FRAMA is a particularly clever indicator. It uses the Fractal Dimension of stock prices to dynamically adjust its smoothing period. In this post we will reveal how the FRAMA performs and if it is worthy of being included in your trading arsenal. To fully understand how the FRAMA works please read this post before continuing. You can also download a FREE spreadsheet containing a working FRAMA that will automatically adjust to the settings you specify. Find it at the following link near the bottom of the page under Downloads – Technical Indicators: Fractal Adaptive Moving Average (FRAMA). Please leave a comment and share this post if you find it useful. The ‘Modified FRAMA’ that we tested consists of more […]Read more ›