Guide · Mean reversion
Does Laguerre RSI work?
Across 375 stocks, Laguerre RSI cut the worst fall on 81%, beat buying and holding on risk-adjusted return on 11% and on raw return on 10%. Mainly a seatbelt: it softened the big falls on most stocks, but usually gave up return to do it.
What it predicts
Ehlers' fast RSI, built from four stages of a Laguerre filter instead of a fixed look-back, so it reacts with little lag. Buy when it climbs back above 0.2, sell when it drops back below 0.8.
- The Laguerre RSI runs from 0 to 1, with a damping factor (gamma) of 0.5.
- In when it crosses up through 0.2.
- Out when it crosses down through 0.8.
Mean reversion plays bet that short, sharp moves tend to snap back. The family guide
How to use it
- It trades often (about 15 switches a year per stock), so costs, spreads and taxes eat into it more than the backtest's 0.05% per switch suggests.
- It worked best on Micro caps (67% beat holding on risk-adjusted return) and worst on Real estate (0%).
- Use it as one input. Your signal combines the plays you count with the other factors you weight into one call.
When it worked
Laguerre RSI did best against holding in the 2008 crash (+11% median gap) and worst in the 2020–21 rally (−26%). Median gap in return against holding the same stock (per year over stretches longer than 18 months; crypto excluded).
| 2008 crash | Recovery 2009–19 | COVID drop | 2020–21 rally | 2022 bear | Since Oct 2022 | |
|---|---|---|---|---|---|---|
| Laguerre RSI | +11% | −10% | +7% | −26% | +8% | −9% |
Where it worked
By kind of stock: how often it beat holding on risk-adjusted return, and the median Sharpe ratio gap.
| Group | Beat holding, risk-adjusted | Sharpe gap |
|---|---|---|
| Micro caps | 67% | +0.01 |
| Healthcare | 22% | -0.15 |
| Software & devices | 18% | -0.19 |
| Energy & power | 15% | -0.18 |
| Consumer & retail | 12% | -0.21 |
| Industrials & rentals | 11% | -0.23 |
| Media & telecom | 10% | -0.23 |
| Industrials & materials | 10% | -0.22 |
| Metals & mining | 10% | -0.25 |
| Financials | 8% | -0.20 |
| Semiconductors | 4% | -0.30 |
| Sectors | 0% | -0.35 |
| Indexes & ETFs | 0% | -0.29 |
| Big tech | 0% | -0.35 |
| Real estate | 0% | -0.27 |
Where it helped most
Sharpe ratio gap against holding, stocks with 3+ years of history
Right now
Laguerre RSI holds 236 of 377 names as of the Oct 13, 2026 close.
Changed its call in the last two weeks:
Backtest results since 2005 (or as long as each stock has traded), against holding the same stock over the same dates, after 0.05% per switch. Past results don't promise future ones. This analysis does not constitute trading advice. Please meet with an advisor or independently review sources before making any decision.