GKD-C ATR-Adaptive, Smoothed Laguerre RSI [Loxx]

Giga Kaleidoscope ATR-Adaptive, Smoothed Laguerre RSI is a Confirmation module included in Loxx's "Giga Kaleidoscope Modularized Trading System".

█ Giga Kaleidoscope Modularized Trading System

What is Loxx's "Giga Kaleidoscope Modularized Trading System"?

The Giga Kaleidoscope Modularized Trading System is a trading system built on the philosophy of the NNFX (No Nonsense Forex) algorithmic trading.

What is an NNFX algorithmic trading strategy?

The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm:

1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc.
2. Baseline - a moving average to identify price trend
3. Confirmation 1 - a technical indicator used to identify trends
4. Confirmation 2 - a technical indicator used to identify trends
5. Continuation - a technical indicator used to identify trends
6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown
7. Exit - a technical indicator used to determine when a trend is exhausted

How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above?

Loxx's GKD v1.0 system has five types of modules (indicators/strategies). These modules are:

1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm)
2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm)
3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm)
4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm)
5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm)

(additional module types will added in future releases)

Each module interacts with every module by passing data between modules. Data is passed between each module as described below:

GKD-B => GKD-V => GKD-C(1) => GKD-C(2) => GKD-C(Continuation) => GKD-E => GKD-BT

That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy.

This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm.

What does the application of the GKD trading system look like?

Example trading system:

• Backtest: Strategy with 1-3 take profits, trailing stop loss, multiple types of PnL volatility, and 2 backtesting styles
  
• Baseline: Hull Moving Average as shown on the chart above
  
• Volatility/Volume: Volatility Ratio as shown on the chart above
  
• Confirmation 1: ATR-Adaptive, Smoothed Laguerre RSI as shown on the chart above
  
• Confirmation 2: Williams Percent Range
  
• Continuation: Fisher Transform
  
• Exit: Rex Oscillator
  

Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD protocol chain.

Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm)

Standard Entry
1. GKD-C Confirmation 1 Signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees

Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
6. GKD-C Confirmation 1 signal was less than 7 candles prior

Continuation Entry
1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously
2. GKD-B Baseline hasn't crossed since entry signal trigger
3. GKD-C Confirmation Continuation Indicator signals
4. GKD-C Confirmation 1 agrees
5. GKD-B Baseline agrees
6. GKD-C Confirmation 2 agrees

1-Candle Rule Standard Entry
1. GKD-C Confirmation 1 signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
Next Candle:
1. Price retraced (Long: close < close or Short: close > close)
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees

1-Candle Rule Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 1 signal was less than 7 candles prior
Next Candle:
1. Price retraced (Long: close < close or Short: close > close)
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees

PullBack Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is beyond 1.0x Volatility of Baseline
Next Candle:
1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees

█ ATR-Adaptive, Smoothed Laguerre RSI

What is ATR-Adaptive, Smoothed Laguerre RSI?
ATR-Adaptive, Smoothed Laguerre RSI is an adaptive Laguerre RSI indicator with smoothing to reduce noise. The Laguerre RSI indicator created by John F. Ehlers is described in his book "Cybernetic Analysis for Stocks and Futures". For this version, Instead of using fixed periods for Laguerre RSI calculation, this indicator uses an ATR ( average True Range ) adapting method to adjust the calculation period. This makes the RSI more responsive in some periods (periods of high volatility ), and smoother in order periods (periods of low volatility). There are two signal types: middle and levels.

Requirements

Inputs
Confirmation 1 and Solo Confirmation: GKD-V Volatility / Volume indicator
Confirmation 2: GKD-C Confirmation indicator

Outputs
Confirmation 2 and Solo Confirmation: GKD-E Exit indicator
Confirmation 1: GKD-C Confirmation indicator
Continuation: GKD-E Exit indicator

Additional features will be added in future releases.

Nota Keluaran:

Added the ability to run a backtest on this indicator without adding the other components of the GKD system. This adds a setting "Solo Confirmation Simple" which is now separate from "Simple Confirmation Complex".

Nota Keluaran:

Upgraded to relax signal rules. This only applies to the Full GKD systems. All settings for signals are controlled by the Confirmation 2 indicator. So this means when you build a Full GKD system, the C2 indicator controls the relaxation of all signals including the Continuation indicator that you are required to add on top of the C2 indicator the full GKD system.

Added the following signal types:
Volatility/Volume Entry
1. GKD-V Volatility/Volume signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-B Baseline agrees
6. GKD-C Confirmation 1 signal was less than 7 candles prior

1-Candle Rule Volatility/Volume Entry
1. GKD-V Volatility/Volume signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 1 signal was less than 7 candles prior
Next Candle:
1. Price retraced (Long: close < close or Short: close > close)
2. GKD-B Volatility/Volume agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-B Baseline agrees

Added the following backtest options
-Super Complex allows for the creation of a GKD system without Confirmation 2 indicator. This backtest type requires the addition of a GKD-C Confirmation indicator
-Stacked allows for the creation of infinitely stackable GKD-C indicators. This is useful for combining two GKD-C indicators to test their synergy together before using these indicators in a full GKD system.

Nota Keluaran:

Updated to handle GKD-V stacks

Nota Keluaran:

Added volatility signals to continuation signal qualifiers.

Added Confirmation 1 + Confirmation 2 backtesting. This allows you to backtest C1 with C2 indicators together without setting up the full GKD system. In the GKD system, the C2 indicator acts as a minor trend filter while the C1 indicator delivers the actual signals and entries. This new backtest allows you to test the entries and signals from the C1 indicator while using the C2 indicator as the macrotrend filter.

Nota Keluaran:

Updated for new GKD backtests.

Nota Keluaran:

Additions and Subtractions:

-All signal logic has been transferred to the new GKD-BT Backtests. You can access these backtests using the links provided below:

GKD-BT Giga Confirmation Stack Backtest:

GKD-BT Giga Stacks Backtest:

GKD-BT Full Giga Kaleidoscope Backtest:

GKD-BT Solo Confirmation Super Complex Backtest:

GKD-BT Solo Confirmation Complex Backtest:

GKD-BT Solo Confirmation Simple Backtest:

-Removed all Confirmation Type options except for "Confirmation" and "Continuation." The "Continuation" type is only used in GKD-BT Solo Confirmation Super Complex Backtest and GKD-BT Full Giga Kaleidoscope Backtest when selecting a Confirmation indicator.

-Added new signal plots based on the selected Confirmation Type. For the "Confirmation" type, only initial Longs and Shorts will be displayed on the indicator. For the "Continuation" type, both initial and continuation signals will be displayed. In both cases, if multiple signal types are present (e.g., middle cross, signal cross), these signals can be controlled using the "Signal Type" option.

-Implemented code optimizations to enhance the rendering speed of signals.

-Streamlined the export process by generating only a single value for export to other indicators or backtests. This exported value is named "Input into NEW GKD-BT Backtest."

Nota Keluaran:

Updated for multi-ticker backtest.

Nota Keluaran:

Updated for GKD optimizers.