//---------------------------------------------------------------------------------------------------------------
//
//
// Adaptive Laguerre Filter, from John Ehlers
// Link : http://www.mesasoftware.com/Papers/Time%20Warp%20Without%20Space%20Travel.exe
// Another works from Ehlers : http://www.mesasoftware.com/technicalpapers.htm
//
// Description :
// Laguerre Filtering, in its adaptive Version (alpha is automaticaly adapted depending the error of filtering).
// Can be apply to RSI OR any other datas 
// To do :
// - Kautz Filter, they are generic Name for Laguerre Filter AND treats complex signals (use amplitude AND phase)
//
// Coding author: Mich.
//
//---------------------------------------------------------------------------------------------------------------
//

function ALFilter(price, length, medianlong) {
  result=price;
  L0 = price;
  L1 = price;
  L2 = price;
  L3 = price;
  coef=0.5;
  Diff=0;
  HH=0.1;
  LL=0;
  alpha=0.5;
  
  for(i = 1+length; i < BarCount; i++) {
    Diff[i] = abs(price[i] - result[i-1]);
    HH[i] = Diff[i];
    LL[i] = Diff[i];
  
    for(j = 0; j < (length-1); j++) {
      if (Diff[i-j] > HH[i]) HH[i] = Diff[i-j];
      if (Diff[i-j] < LL[i]) LL[i] = Diff[i-j];
    }
  
    if ( (i > length) AND (HH[i] - LL[i] != 0) ) {
      coeftemp=(Diff - LL) / (HH - LL);
      mlen = medianlong;
      for(k = mlen - 1; k >= 0; k--) temparray[k] = coeftemp[i + k - (mlen - 1)];
      temp=0;
      for(k = mlen - 1; k > 0; k--) {
        for (j = mlen - 1; j > 0; j--) {
          if (temparray[j-1] > temparray[j]) {
            temp = temparray[j-1];
            temparray[j-1] = temparray[j];
            temparray[j] = temp;
          }
        }
      }
      coef[i] = temparray[(mlen/2)-0.5];  
      //----- End median calculation
    } // end main IF
  
    alpha=coef[i];
    L0[i] = alpha*price[i] + (1 - alpha)*L0[i-1];
    L1[i] = -(1 - alpha)*L0[i] + L0[i-1] + (1 - alpha)*L1[i-1];
    L2[i] = -(1 - alpha)*L1[i] + L1[i-1] + (1 - alpha)*L2[i-1];
    L3[i] = -(1 - alpha)*L2[i] + L2[i-1] + (1 - alpha)*L3[i-1];
    result[i] = (L0[i] + 2*L1[i] + 2*L2[i] + L3[i]) / 6;
  }// end main  FOR
  return result; 
} 


/* DEMO */

SetBarsRequired(2000,2000);

P = ParamField("Price field",-1);
periods = Param( "Periods", 20, 1, 40, 1 );
periodsmedian = Param( "Periods Median", 5, 1, 40, 1 );

Plot( ALFilter(P,periods,periodsmedian), "Adaptive Laguerre Filter",
ParamColor( "Adaptive Laguerre Filter", colorCycle ), ParamStyle("Style")  );