RSI in Laguerre Time MTF for ThinkorSwim

T

tomsk

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Yes, it's mine. I used the word fin at the title's end. It's French for the end.
I asked but Mobius for permission to share but he didn't answer that email. Unfortunately it's in the wild now. That's my fault.
I believe it was some type of test that was not ready to go yet, from what I recall him saying. That was about 2 years ago, it was put in the TSL and then pulled by SilentBen_TOS, the Moderator.

@markos Was that the one which incorporated trade management? If so I do vividly recall the entire discussion in the lounge, around early 2018 is my recollection. Good of you to mention that.
 
markos

markos

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@markos Was that the one which incorporated trade management? If so I do vividly recall the entire discussion in the lounge, around early 2018 is my recollection. Good of you to mention that.
Yes sir, that's one of two that I received and no permission was given. I commented out those items. AI and I were the only ones that admitted to snagging it before he requested it not be shared.
 
T

tomsk

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@markos Ah good man, now that you mentioned that, this all rings like a bell. After reading your comments yesterday that sure perked my interest. I seem to recall that the RSI in Laguerre Time Self Adjusting With Fractal Energy had quite a few variations including the Gaussian which according to Mobius would not be scanable. One particular trader even had the Quad Momentum embedded together with that study. AI hadn't mentioned this study for a while. Well - sounds like this is going to be a fun weekend project!
 
markos

markos

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@tomsk Being Gaussian is what make them unscannable? That would explain why old Doc Severson RSI Laguerre scans still work.
I never found the Quad Momentum worth the screen real estate for my type of trade. (Weekly/Daily TF)
Well, that's interesting. Thanks for the added info! btw, Did you stay up all night? Brexit is back on again, i guess.
 
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T

tomsk

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@markos Yep, I specifically recall JQ asked the question to which Mobius said that the Gaussian version won't scan due to complexity issues. He had a scannable version on his MyTrade but last I looked it wasn't there. If you need it, let me know, I have my sources within the lounge all too eager to assist. Regarding the Quad momentum, I have a scaled down version which I absolutely must have whenever I trade, real helpful especially during ultra volatile days. Got to get back to those client submissions. Have a great weekend ahead
 
markos

markos

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@tomsk That scannable version is the one I posted in the RSI Laguerre Tutorial. Should be same as this. Please see if this will work. Only on Android still.
@MBF see if this works on your time frame...

Code:
# Scan for RSI in Laguerre Time With Fractal Energy
# Mobius
# V02.07.2014
# V03.06.15.2016
#Scan
#Inputs:
input nFE = 8;
# Variables:
def o;
def h;
def l;
def c;
def CU1;
def CU2;
def CU;
def CD1;
def CD2;
def CD;
def L0;
def L1;
def L2;
def L3;
def RSI;
# Calculations
o = (open + close[1]) / 2;
h = Max(high, close[1]);
l = Min(low, close[1]);
c = (o + h + l + close) / 4;
def gamma = Log(Sum((Max(high, close[1]) - Min(low, close[1])), nFE) /
(Highest(high, nFE) - Lowest(low, nFE)))
/ Log(nFE);
L0 = (1 – gamma) * c + gamma * L0[1];
L1 = -gamma * L0 + L0[1] + gamma * L1[1];
L2 = -gamma * L1 + L1[1] + gamma * L2[1];
L3 = -gamma * L2 + L2[1] + gamma * L3[1];
if L0 >= L1
then {
CU1 = L0 - L1;
CD1 = 0;
} else {
CD1 = L1 - L0;
CU1 = 0;
}
if L1 >= L2
then {
CU2 = CU1 + L1 - L2;
CD2 = CD1;
} else {
CD2 = CD1 + L2 - L1;
CU2 = CU1;
}
if L2 >= L3
then {
CU = CU2 + L2 - L3;
CD = CD2;
} else {
CU = CU2;
CD = CD2 + L3 - L2;
}
RSI = if CU + CD <> 0 then CU / (CU + CD) else 0;
# Note Comment-Out (#) whichever scan not being used.
# Long Scan
plot Long = RSI crosses above .2 and gamma > .6;
# Short Scan
#plot Short = RSI crosses below .8 and gamma > .6;
 
borntostun

borntostun

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My head is spinning . . . so which is the self-adjusting now?
 
T

tomsk

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@markos Yep, just tested this in the scanner. It is golden, scored 8 results on the S&P 500 (Daily)
 
T

tomsk

Well-known member
VIP
@tomsk That scannable version is the one I posted in the RSI Laguerre Tutorial. Should be same as this. Please see if this will work. Only on Android still.
@MBF see if this works on your time frame...

Code:
# Scan for RSI in Laguerre Time With Fractal Energy
# Mobius
# V02.07.2014
# V03.06.15.2016
#Scan
#Inputs:
input nFE = 8;
# Variables:
def o;
def h;
def l;
def c;
def CU1;
def CU2;
def CU;
def CD1;
def CD2;
def CD;
def L0;
def L1;
def L2;
def L3;
def RSI;
# Calculations
o = (open + close[1]) / 2;
h = Max(high, close[1]);
l = Min(low, close[1]);
c = (o + h + l + close) / 4;
def gamma = Log(Sum((Max(high, close[1]) - Min(low, close[1])), nFE) /
(Highest(high, nFE) - Lowest(low, nFE)))
/ Log(nFE);
L0 = (1 – gamma) * c + gamma * L0[1];
L1 = -gamma * L0 + L0[1] + gamma * L1[1];
L2 = -gamma * L1 + L1[1] + gamma * L2[1];
L3 = -gamma * L2 + L2[1] + gamma * L3[1];
if L0 >= L1
then {
CU1 = L0 - L1;
CD1 = 0;
} else {
CD1 = L1 - L0;
CU1 = 0;
}
if L1 >= L2
then {
CU2 = CU1 + L1 - L2;
CD2 = CD1;
} else {
CD2 = CD1 + L2 - L1;
CU2 = CU1;
}
if L2 >= L3
then {
CU = CU2 + L2 - L3;
CD = CD2;
} else {
CU = CU2;
CD = CD2 + L3 - L2;
}
RSI = if CU + CD <> 0 then CU / (CU + CD) else 0;
# Note Comment-Out (#) whichever scan not being used.
# Long Scan
plot Long = RSI crosses above .2 and gamma > .6;
# Short Scan
#plot Short = RSI crosses below .8 and gamma > .6;

@markos While we are in the midst of this discussion I decided to go the extra mile for you. Turns out there is an updated scan. The code base is exactly the same but the conditions differ. Rather than just scan for the breakout/down of the OB/OS levels, the updated version scans for last 4 bars above 0.9 or below 0.1.

If you feel adventurous and are so inclined, replace the scan condition of the original code with the following. I think this ensures that we are really getting traction rather than a "fake out", know what I mean?

Code:
# Long Scan
plot Long = sum(RSI > .9, 4) >= 4;
# Short Scan
#plot Short = sum(RSI < .1, 4) >= 4;
 
borntostun

borntostun

New member
Lifetime
Apologies for the noob question, but I am only familiar with how to set up scans using the query tool.

Where/how can I copy/paste the above code to create these RSI Laguerre scanners? Also, do they differ significatnly from the scanner @markos shared at the beginning of his 'RSI in Laguerre Time with Fractal Energy - Momentum/Trend Indicator' post?

Personally, I'm generally trading on the 1D . . . always monitoring the 1hr/4hr for entries. Any insight or help with the use of scanners (which is new'ish) for me . . . is greatly appreciated. Thanks!
 
A

AZMTB

New member
Hi, thank you for putting this together. 2 Quick questions on the RSILaguerre9112019 version ( MTF) :
1. I am not seeing a separate FE line like I do in the Non-MTF version. Is that by design or am I missing something?
2. Is there a way to set it, or all indicators to, " On bar close" ?

Thanks in advance.
 
markos

markos

Well-known member
VIP
Hi, thank you for putting this together. 2 Quick questions on the RSILaguerre9112019 version ( MTF) :
1. I am not seeing a separate FE line like I do in the Non-MTF version. Is that by design or am I missing something?
2. Is there a way to set it, or all indicators to, " On bar close" ?

Thanks in advance.
@AZMTB Please post a picture using Imgur.com as well as tell us your investment type and time frame. Thanks.
 
A

AZMTB

New member
@AZMTB Please post a picture using Imgur.com as well as tell us your investment type and time frame. Thanks.

Thank you. 2 min base chart, 4m agg, /MES I see the RSI, but not a separate FE/Gamma line.

Also, I would love to convert this to NT 8. I would pay for it. I would add in a feature to call an ATM on the entries.
 
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T

tomsk

Well-known member
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@AZMTB @markos I looked through the entire series of RSI in Laguerre Time MTF studies including the 20190911-v3b blt, 9.11.2019 version. This appears to only have the RSI in Laguerre component. It does not have the Fractal Energy specific code. For that you'll need to look at something like the RSI in Laguerre Time Self Adjusting Fractal Energy study from Mobius. I believe @markos may have that. If not let me know.

However to keep things simple you may want to start with Mobius Fractal Energy base code, I posted it about a week ago. Read the following link, it is much easier to digest. Have fun!

https://usethinkscript.com/threads/es-trading-strategy-on-thinkorswim.987/page-18#post-11460
 
markos

markos

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VIP
@AZMTB @tomsk To keep things simple and to not confuse, When using the RSI in Laguerre Time MTF Series, you will be best served to use Either the FLE study that tomsk posted above Or the Choppiness study posted below and use them as separate indicators on a lower chart. You will find that there is very little difference in the way they look. Choose one and live with it for a while.
https://usethinkscript.com/threads/choppiness-indicator-for-thinkorswim.1277/
It's not advisable to bastardize a perfectly good indicator. If you must have MTF, please go that route.

For the RSI in Laguerre Time study that includes adjustable FE, please see the Tutorials section or use the search function. Please do not ask to have that one changed to MTF as it is already time adjusting.
Further questions on this, please re-read the tutorials and the excellent explanations that @tomsk and others have placed herein.
 
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A

AZMTB

New member
@AZMTB @markos I looked through the entire series of RSI in Laguerre Time MTF studies including the 20190911-v3b blt, 9.11.2019 version. This appears to only have the RSI in Laguerre component. It does not have the Fractal Energy specific code. For that you'll need to look at something like the RSI in Laguerre Time Self Adjusting Fractal Energy study from Mobius. I believe @markos may have that. If not let me know.

However to keep things simple you may want to start with Mobius Fractal Energy base code, I posted it about a week ago. Read the following link, it is much easier to digest. Have fun!

https://usethinkscript.com/threads/es-trading-strategy-on-thinkorswim.987/page-18#post-11460
Thank you for the fast response.
 
markos

markos

Well-known member
VIP
@AZMTB You are most welcome. Either way, it's an excellent indicator. The study you placed a picture of is pretty cool & if you are relatively new to trading, you may be best served by using it and adding the FE or Chop later. Good trading to you!
 
T

tomsk

Well-known member
VIP
@AZMTB @tomsk To keep things simple and to not confuse, When using the RSI in Laguerre Time MTF Series, you will be best served to use Either the FLE study that tomsk posted above Or the Choppiness study posted below and use them as separate indicators on a lower chart. You will find that there is very little difference in the way they look. Choose one and live with it for a while.
https://usethinkscript.com/threads/choppiness-indicator-for-thinkorswim.1277/
It's not advisable to bastardize a perfectly good indicator. If you must have MTF, please go that route.

For the RSI in Laguerre Time study that includes adjustable FE, please see the Tutorials section or use the search function. Please do not ask to have that one changed to MTF as it is already time adjusting.
Further questions on this, please re-read the tutorials and the excellent explanations that @tomsk and others have placed herein.

@markos An excellent, apt and concise summary in my opinion. Merely pointing out the existence of such studies, but your input is very well received
 
T

Thomas

Active member
@tomsk Yes BLT, Zzz, is a great coder, creative. I have a multiple amount of different codes, but, look at the TheoTrade examples, they are the best, and can be refined, if they arent already, because they were Mobius written, Theo evolved...
 

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