This strategy was featured in the September 2011 issue of Active Trader magazine.

Laguerre RSI (created by John Ehlers) works like the conventional RSI, but with the benefit of being more responsive to recent
prices.

System rules

1. Buy next bar at the open when today’s closing price is above the 40-day simple moving average (short-term
   trend), and the Laguerre RSI crosses below the oversold threshold at 30 (pullback).
2. Sell next bar at open when the LaguerreRSI crosses above the overbought threshold at 70 (getting overbought).