Estimating Laguerre Filter Gamma with a Period-Based Adjustment

Summary

The document proposes a modified Laguerre smoothing filter called the Carnazzi filter. It first estimates the filter’s gamma parameter from a chosen period length, using a correction term called delta, then applies a four-stage recursive Laguerre calculation to the input price series. The author says the gamma estimate is intended to track the behavior of an ALMA filter and provides an illustrative default period along with piecewise delta adjustments for different period ranges.

The proposal is an indicator construction, not a tested trading strategy. No comparative measurements, market examples, or backtest results are supplied. The author presents the delta adjustment as an intuitive refinement and explicitly acknowledges that a more formal signal-processing derivation is missing. Users would need to assess its lag, smoothness, and behavior across data and parameter choices before relying on it.

Key ideas

• The proposed indicator estimates gamma from a configurable period length.
• A piecewise delta adjustment modifies that period before calculating gamma.
• The adjusted gamma feeds a recursive four-stage Laguerre filter.
• The author intends the estimator to approximate behavior associated with ALMA.
• The proposed adjustment is heuristic and is not supported by comparative performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.