QuantConnect/Lean

Extend LeastSquaresMovingAverage to Accept a Benchmark

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#6,984 创建于 2023年2月20日

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 (5 评论) (0 反应) (1 负责人)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

贡献者指南

技术栈
csharp
领域
backenddata
议题类型
feature
难度面向新贡献者的预计实现难度，1 表示很小改动，5 表示专家级工作。
3
预计时间有经验贡献者完成调查、实现、测试并准备 pull request 的粗略时间范围。
half day
活动状态议题当前的可参与程度：新鲜、活跃、陈旧、阻塞或等待维护者输入。
blocked
清晰度议题是否清楚说明期望改动、验收标准和下一步。
clear
前置要求
C# programmingLean indicators knowledgeUnderstanding of linear regression
新手友好度1-100 的估计分数，表示该议题对首次贡献者的友好程度。
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.
Extend LeastSquaresMovingAverage to Accept a Benchmark · QuantConnect/Lean#6984 | Good First Issue