DSTrading (version 1.0)

GLRSI: Generalized Laguerre RSI

Description

Generalized Laguerre RSI

Usage

GLRSI(HLC, n = 4, gamma = 0.5, priceMethod = "Close")

Arguments

HLC

-- an xts object containing High, Low, and Close price data

n

-- the period for computation

gamma

-- a dampening factor

priceMethod

-- use "Close" for the close, any other string will result in Ehlers's (H+L)/2 method.

Value

an xts object

References

http://www.mesasoftware.com/Papers/TIME%20WARP.pdf