Extend LSMA to accept benchmark reference#9426
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aiSynergy37 wants to merge 1 commit intoQuantConnect:masterfrom
Open
Extend LSMA to accept benchmark reference#9426aiSynergy37 wants to merge 1 commit intoQuantConnect:masterfrom
aiSynergy37 wants to merge 1 commit intoQuantConnect:masterfrom
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Closes #6984.
Description
Adds a benchmark-reference mode to
LeastSquaresMovingAverageso LSMA can regress a target symbol against a reference symbol instead of only regressing target values against a fixed time index.This adds:
LeastSquaresMovingAverage(string name, Symbol referenceSymbol, int period)andLeastSquaresMovingAverage(Symbol referenceSymbol, int period)constructorsQCAlgorithm.LSMA(Symbol symbol, Symbol reference, int period, ...)helper overloadRelated Issue
Closes #6984
Motivation and Context
Maintainer guidance requested a
Symbol referenceoverload for LSMA. A previous PR for this issue was closed with concerns around paired-symbol time handling; this implementation waits for matching target/reference timestamps before adding a regression sample.How Has This Been Tested?
Types of Changes