Laguerre ROC - � VertexFX Indicator

[NCDindia]

Laguerre ROC (Rate Of Change) is a trend based VertexFX client side VTL indicator that has minimal lag. It should be used in conjunction with other market cycle based indicators to detect the market trends.

We first calculate the ROC which is the difference between the current Close and the Close PERIOD bars ago, dividing it by the Close PERIOD bars ago. This value is then smoothed using the GAMMA smoothing constant. Finally, we calculate the up-changes and down changes and the ratio of the cumulative sum of up-changes to down-changes is the Laguerre ROC.

It oscillates between 0 and 1. When the value falls towards zero and bottoms out, it implies that the market is preparing for an up move. Likewise, when the value towards one and peaks out, it implies that the market is preparing for a down move.
BUY - Place Buy position when Laguerre ROC indicator bottoms out below 0.25 and starts rising.

SELL - Place Sell position when Laguerre ROC indicator tops out above 0.75 and starts falling