Hello everyone,

I am proud to present some of my work in bringing Time Series Analysis into Lean! The TimeSeriesIndicator is a new indicator sub-class allowing for the statistical treatment of data in the framework described by Brockwell and Davis. As a particular implementation of this new class, the AutoRegressiveIntegratedMovingAverage is an indicator which allows you to fit AR, ARMA, and ARIMA models to your data. Most importantly, given that these indicators are fully integrated with the Lean engine, performance is demonstrably fast when compared to pure-Python implementations. Such and more is described in the attached QuantBook (the .ipynb file in the backtest after clicking `</>Code` ).


Moreover, the attached QuantBook should provide some useful snippets for anyone wishing to employ these methods in their own work!


Happy coding,