QuantConnect/Lean

Extend LeastSquaresMovingAverage to Accept a Benchmark

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#6,984 opened on 2023年2月20日

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

説明

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

コントリビューターガイド

技術スタック
csharp
領域
backenddata
Issue 種別
feature
難度新しい貢献者にとっての実装難度です。1 は非常に小さな変更、5 は専門的な作業です。
3
推定時間経験ある貢献者が調査、実装、テスト、pull request 準備にかけるおおよその時間範囲です。
half day
活動状況Issue が今どれだけ取り組みやすいかを示します。新しい、活発、古い、ブロック中、またはメンテナー入力待ちなどです。
blocked
明確さ期待される変更、受け入れ条件、次の手順がどれだけ明確かを示します。
clear
前提条件
C# programmingLean indicators knowledgeUnderstanding of linear regression
初心者向け度初回貢献者にどれだけ取り組みやすいかを 1-100 で推定したスコアです。
30
調査方針
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