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
To view the implementation of this indicator, see the LEAN GitHub repository.
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(_symbol, 20); } public override void OnData(Slice data) { if (_lsma.IsReady) { // The current value of _lsma is represented by itself (_lsma) // or _lsma.Current.Value Plot("LeastSquaresMovingAverage", "lsma", _lsma); // Plot all properties of 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(self.symbol, 20) def OnData(self, slice: Slice) -> None: if self.lsma.IsReady: # The current value of self.lsma is represented by self.lsma.Current.Value self.Plot("LeastSquaresMovingAverage", "lsma", self.lsma.Current.Value) # Plot all attributes of self.lsma 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) { // The current value of _lsma is represented by itself (_lsma) // or _lsma.Current.Value Plot("LeastSquaresMovingAverage", "lsma", _lsma); // Plot all properties of 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 = slice.Bars.get(self.symbol) if bar: self.lsma.Update(bar.EndTime, bar.Close) if self.lsma.IsReady: # The current value of self.lsma is represented by self.lsma.Current.Value self.Plot("LeastSquaresMovingAverage", "lsma", self.lsma.Current.Value) # Plot all attributes of self.lsma 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) { // The current value of _lsma is represented by itself (_lsma) // or _lsma.Current.Value Plot("LeastSquaresMovingAverage", "lsma", _lsma); // Plot all properties of 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: # The current value of self.lsma is represented by self.lsma.Current.Value self.Plot("LeastSquaresMovingAverage", "lsma", self.lsma.Current.Value) # Plot all attributes of self.lsma 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 LeastSquaresMovingAverage
class.
LeastSquaresMovingAverage()2/2
LeastSquaresMovingAverage QuantConnect.Indicators.LeastSquaresMovingAverage (
int
period
)
Initializes a new instance of the LeastSquaresMovingAverage
class.
Visualization
The following image shows plot values of selected properties of LeastSquaresMovingAverage
using the plotly library.
