Using ATR to Adapt the Laguerre Filter to Volatility

Summary

This note describes an ATR-adaptive version of John Ehlers’s Laguerre filter. The original filter has no period parameter, while the described version adds one so its behavior can adapt using Average True Range. The proposed use is to watch for changes in the indicator’s color as trading signals.

The document offers a qualitative comparison: it claims the adaptive line responds faster during high volatility and market changes while remaining smooth, and says it leads the regular filter in most observed periods. No chart data, test method, market, settings, or performance results are provided. The comparison therefore serves as an illustration rather than evidence that the signals are profitable or generalize across instruments. The note also does not specify how to enter, exit, or manage risk around a color change.

Key ideas

• The described filter adds a period parameter to the original Laguerre filter.
• It adapts the filter using Average True Range as a measure of volatility.
• Color changes are suggested as potential trading signals.
• The claimed responsiveness and smoothness are presented qualitatively, without quantified testing.

Tags

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