Supported Indicators
Least Squares Moving Average
Introduction
The Least Squares Moving Average (LSMA) first calculates a least squares regression line over the preceding time periods, and then projects it forward to the current period. In essence, it calculates what the value would be if the regression line continued. source
Using LSMA Indicator
To create an automatic indicators for LeastSquaresMovingAverage, call the LSMA helper method from the QCAlgorithm class. The LSMA method creates a LeastSquaresMovingAverage object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize method.
public class LeastSquaresMovingAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private LeastSquaresMovingAverage _lsma;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_lsma = LSMA("SPY", 20);
}
public override void OnData(Slice data)
{
if (_lsma.IsReady)
{
Plot("LeastSquaresMovingAverage", "lsma", _lsma);
Plot("LeastSquaresMovingAverage", "intercept", _lsma.Intercept);
Plot("LeastSquaresMovingAverage", "slope", _lsma.Slope);
}
}
} class LeastSquaresMovingAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.lsma = self.LSMA("SPY", 20)
def OnData(self, slice: Slice) -> None:
if self.lsma.IsReady:
self.Plot("LeastSquaresMovingAverage", "lsma", self.lsma.Current.Value)
self.Plot("LeastSquaresMovingAverage", "intercept", self.lsma.Intercept.Current.Value)
self.Plot("LeastSquaresMovingAverage", "slope", self.lsma.Slope.Current.Value)
The following reference table describes the LSMA method:
LSMA()1/1
LeastSquaresMovingAverage QuantConnect.Algorithm.QCAlgorithm.LSMA (
Symbol symbol,
Int32 period,
*Nullable<Resolution> resolution,
*Func<IBaseData, Decimal> selector
)
Creates and registers a new Least Squares Moving Average instance.
If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.
For more information about the selector argument, see Alternative Price Fields.
For more information about plotting indicators, see Plotting Indicators.
You can manually create a LeastSquaresMovingAverage indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.
Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update method with time/number pair, or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.
public class LeastSquaresMovingAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private LeastSquaresMovingAverage _lsma;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_lsma = new LeastSquaresMovingAverage(20);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGeValue(_symbol, out var bar))
{
_lsma.Update(bar.EndTime, bar.Close);
}
if (_lsma.IsReady)
{
Plot("LeastSquaresMovingAverage", "lsma", _lsma);
Plot("LeastSquaresMovingAverage", "intercept", _lsma.Intercept);
Plot("LeastSquaresMovingAverage", "slope", _lsma.Slope);
}
}
} class LeastSquaresMovingAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.lsma = LeastSquaresMovingAverage(20)
def OnData(self, slice: Slice) -> None:
bar = data.Bars.get(self.symbol)
if bar:
self.lsma.Update(bar.EndTime, bar.Close)
if self.lsma.IsReady:
self.Plot("LeastSquaresMovingAverage", "lsma", self.lsma.Current.Value)
self.Plot("LeastSquaresMovingAverage", "intercept", self.lsma.Intercept.Current.Value)
self.Plot("LeastSquaresMovingAverage", "slope", self.lsma.Slope.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.
public class LeastSquaresMovingAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private LeastSquaresMovingAverage _lsma;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_lsma = new LeastSquaresMovingAverage(20);
RegisterIndicator(_symbol, _lsma, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_lsma.IsReady)
{
Plot("LeastSquaresMovingAverage", "lsma", _lsma);
Plot("LeastSquaresMovingAverage", "intercept", _lsma.Intercept);
Plot("LeastSquaresMovingAverage", "slope", _lsma.Slope);
}
}
} class LeastSquaresMovingAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.lsma = LeastSquaresMovingAverage(20)
self.RegisterIndicator(self.symbol, self.lsma, Resolution.Daily)
def OnData(self, slice: Slice) -> None:
if self.lsma.IsReady:
self.Plot("LeastSquaresMovingAverage", "lsma", self.lsma.Current.Value)
self.Plot("LeastSquaresMovingAverage", "intercept", self.lsma.Intercept.Current.Value)
self.Plot("LeastSquaresMovingAverage", "slope", self.lsma.Slope.Current.Value)
The following reference table describes the LeastSquaresMovingAverage constructor:
LeastSquaresMovingAverage()1/2
LeastSquaresMovingAverage QuantConnect.Indicators.LeastSquaresMovingAverage (
string name,
int period
)
Initializes a new instance of the LeastSquaresMovingAverag class.
LeastSquaresMovingAverage()2/2
LeastSquaresMovingAverage QuantConnect.Indicators.LeastSquaresMovingAverage (
int period
)
Initializes a new instance of the LeastSquaresMovingAverag class.
Visualization
The following image shows plot values of selected properties of LeastSquaresMovingAverage using the plotly library.
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