Laguerre-Filtered RSI for Responsive Long and Short Signals

Summary

This indicator-based strategy applies a Laguerre filter to price to produce four recursive filter levels, then derives a bounded strength reading from their cumulative upward and downward differences. A configurable gamma parameter controls the filter, while user-set upper and lower bands determine position state: readings above the upper band indicate long exposure, and readings below the lower band indicate short exposure. The position is retained between thresholds, with an option to reverse directions.

The document explains that short effective data lengths can make the indicator respond quickly, while warning that sensitivity may create misleading signals, frequent trading, and higher costs. It recommends parameter testing and combining the indicator with other analysis, but presents no performance results. The provided settings specify BTC/USDT futures and a one-year backtest window; without reported metrics, they do not show whether the strategy is profitable or robust. No explicit stop-loss or position-sizing method is described.

Key ideas

• A recursive Laguerre filter transforms price into four levels used to calculate a strength oscillator.
• The oscillator's upper and lower bands control long and short position states, with an optional direction reversal.
• The filter is intended to respond using relatively short data histories, which can also increase signal noise and turnover.
• The listed backtest configuration has no reported performance results, and the method specifies no explicit risk controls.

Tags

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