Laguerre RSI: Recursive Smoothing and Threshold Signals

Summary

This document explains how a four-stage recursive Laguerre filter is used to smooth price input and calculate a Laguerre RSI. The adjustable alpha parameter controls the filter’s lag and smoothness. Upward and downward movements across the filter stages are summed, then used to form the indicator as a ratio of those sums. The described trading rules enter long when the indicator crosses above 20 and short when it crosses below 80.

The document gives the indicator equations and parameter options, plus published backtest settings for BTC/USDT futures. It does not report backtest results, so its claims about signal quality or suitability across markets are not supported by performance evidence here. The source’s actual strategy entries instead cross the upward and downward sums, which is not the same as the stated 20 and 80 threshold rules. It also does not implement the listed stop loss or optimization suggestions. The document cautions that alpha settings can add lag or excessive smoothing, that choppy conditions may cause repeated losses, and that sustained bull markets may leave gains uncaptured.

Key ideas

• A recursive four-stage Laguerre filter is applied to price to smooth the input used in the indicator.
• The indicator compares summed upward and downward movements across the filter stages.
• The stated rules go long above 20 and short below 80, but the provided strategy entries use crossings of the movement sums instead.
• The adjustable alpha parameter trades off responsiveness against smoothness.
• The document provides backtest settings but no performance results, and flags choppy markets and parameter choices as risks.

Tags

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