QuantConnect/Lean

Extend LeastSquaresMovingAverage to Accept a Benchmark

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#6,984 opened on Feb 20, 2023

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 (5 comments) (0 reactions) (1 assignee)C# (18,979 stars) (4,772 forks)batch import
featuregood first issue

Description

Expected Behavior

Lean supports LeastSquaresMovingAverage as a Lean Indicator which takes a Symbol object, a benchmark Symbol, and a look-back period.

Actual Behavior

The current implementation assumes a constant slope: LeastSquaresMovingAverage.cs#L59. See #83.

Potential Solution

Implement this indicator.

Checklist

  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue

Contributor guide

Tech stack
csharp
Domain
backenddata
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
half day
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
blocked
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
C# programmingLean indicators knowledgeUnderstanding of linear regression
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
30
Research direction
The issue requests extending LeastSquaresMovingAverage indicator to accept a benchmark symbol. The current implementation at LeastSquaresMovingAverage.cs#L59 assumes a constant slope. Refer to issue #83 for context. The issue has one assignee, so check with them before starting. Files to modify: Indicators/LeastSquaresMovingAverage.cs. Look at how other indicators like Beta or Correlation handle benchmark inputs for guidance.
Extend LeastSquaresMovingAverage to Accept a Benchmark · QuantConnect/Lean#6984 | Good First Issue