Math::Business::LaguerreFilter - Technical Analysis: Laguerre Filter
use Math::Business::LaguerreFilter;
my $avg = new Math::Business::LaguerreFilter; $avg->set_days(9); $avg->set_alpha(0.2); # same (roughly)
my @closing_values = qw( 3 4 4 5 6 5 6 5 5 5 5 6 6 6 6 7 7 7 8 8 8 8 );
# choose one: $avg->insert( @closing_values ); $avg->insert( $_ ) for @closing_values;
if( defined(my $q = $avg->query) ) { print "value: $q.\n";
} else { print "value: n/a.\n"; }
For short, you can skip the set_alpha()
by suppling the setting to new():
my $avg = new Math::Business::LaguerreFilter(0.2); # same as set_alpha(0.2)
Ehlers actually uses the high and low price, rather than the closing price, in his book. The insert method takes either a closing price or the high and low price as a two-tuple.
$avg->insert( $close ); # correct $avg->insert( [$high,$low] ); # also correct
John F. Ehlers talked about how to adapt Laguerre Polynomials to technical analysis in an engineering-oriented 2004 book titled Cybernetic Analysis for Stocks and Futures: Cutting-Edge DSP Technology to Improve Your Trading.
This technique appears in a chapter with the unlikely title Time Warp - Without Space Travel.
If you locate the chapter or the book, you should read it. It's written well and it's a unique way to look at moving averages in general (e.g. there are filter schematics of each equation).
John Baker <johnb@listbrokers.com>
Paul Miller <jettero@cpan.org>
I am using this software in my own projects... If you find bugs, please please please let me know.
I normally hang out on #perl on freenode, so you can try to get immediate gratification there if you like. irc://irc.freenode.net/perl
There is also a mailing list with very light traffic that you might want to join: http://groups.google.com/group/stockmonkey/.
Copyright (c) 2008 Paul Miller -- LGPL [Software::License::LGPL_2_1]
perl -MSoftware::License::LGPL_2_1 \ -e '$l = Software::License::LGPL_2_1->new({ holder=>"Paul Miller"}); print $l->fulltext' | less
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, the Math::Business::StockMonkey manpage, the Math::Business::StockMonkey::FAQ manpage, the Math::Business::StockMonkey::CookBook manpage