LRS

LRS (Laguerre Relative Strength indicator) is a VertexFX client side VTL indicator. It is based on Relative Strength indicator that helps determining market cycles. LRS is bounded between 0 and 100. LRS indicator period is calculated dynamically. RSI does not have a period over which it is calculated, because LRS indicator uses the Laguerre filter – which automatically detects the shorter cycle period. Method of calculation of the indicator: We first calculate the LRQ which is the difference between the current Close and the Close PERIOD bars ago, dividing it by the Close PERIOD bars ago. This value is then smoothed using the GAMMA smoothing constant. Finally, we calculate the up-changes and down changes and the ratio of the cumulative sum of up-changes to down-changes is the LRS. When the value falls towards zero and bottoms out, it implies that the market is preparing for an up move. Likewise, when the value towards one and peaks out, it implies that the market is preparing for a down move.

Trading using LRS indicator:
BUY SIGNAL
– Place Buy trade when LRS value crosses above 15 from below after staying below 15 for at least 5 bars.
SELL SIGNAL
– Place Sell trade when LRS value crosses below 85 from above after staying above 85 for at least 5 bars.

The basic parameters of the LRS indicator is the factor gamma, which default value is 0.7. It should be noted that by using values below this level (eg, 0.5), the LRS indicator offers extremely aggressive trading with a large number of trading signals, which is quite an adverse effect on the final results of trading.

Input parameters:
gamma (default = 0.7) — multiplier that is used in the line’s levels calculation. The higher it is the smoother is the line.
CountBars (default = 950) — the maximum amount of bars for which to calculate this indicator. Set as high as possible if you don’t experience performance problems.

Usage

• Download the attachment from vStore or directly from the vStore tab in your terminal by performing a right click on it and selecting Download & Install
• Copy it to your company VertexFX Local VTL Files folder i.e. C:ProgramDataVertexFX Client Terminals”Company name”VTL10Local VTL Scripts
• Restart your Client Terminal or Right Click on “Local VTL Scripts” Tree Node to find the script.