QuantConnect/Lean

Extend LeastSquaresMovingAverage to Accept a Benchmark

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#6,984 建立於 2023年2月20日

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 (5 留言) (0 反應) (1 負責人)C# (18,979 star) (4,772 fork)batch import
featuregood first issue

描述

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

貢獻者指南

技術棧
csharp
領域
backenddata
議題類型
feature
難度面向新貢獻者的預計實作難度，1 表示很小改動，5 表示專家級工作。
3
預計時間有經驗貢獻者完成調查、實作、測試並準備 pull request 的粗略時間範圍。
half day
活動狀態議題目前的可參與程度：新鮮、活躍、陳舊、阻塞或等待維護者輸入。
blocked
清晰度議題是否清楚說明預期改動、驗收標準和下一步。
clear
前置要求
C# programmingLean indicators knowledgeUnderstanding of linear regression
新手友善度1-100 的估計分數，表示該議題對首次貢獻者的友善程度。
30
研究方向
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.