Laguerre RSI

Laguerre RSI Indicator is a powerful VertexFX indicator based on RSI indicator to determine market cycles. Like RSI indicator, Verdo Laguerre RSI is bounded between 0 and 100. Unlike RSI, Verdo Laguerre RSI does not have a period over which it is calculated, because Verdo Laguerre RSI uses the Laguerre filter – which automatically detects the shorter cycle period.

To calculate Laguerre RSI, Verdo Laguerre RSI first calculates the Relative Strength (RS). In normal RSI calculations, closing prices are used. But in case of Laguerre RSI instead of closing prices, Verdo Laguerre RSI filter the values from the Laguerre filter values. Then RS is calculated from the sum of the difference in prices over the observation period where that difference is positive (CU). Similarly, the sum of the difference in prices over the observation period where that difference is negative (CD) is expressed as a positive number. RSI is calculated as 100 – 100 / (1 + CU/CD).

BUY – Place Buy trade when Laguerre RSI value crosses above 20 from below after staying below 20 for at least 10 bars.
SELL – Place Sell trade when Laguerre RSI value crosses below 80 from above after staying above 80 for at least 10 bars.

Usage

• Download the attachment.
• Copy it to your company VertexFX  Local VTL Files folder i.e. C:Program FilesCompany Namevtl10Local VTL Scripts
• Restart your Client Terminal or Right Click on “Local VTL Scripts” Tree Node to find the script.