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: https://rtmath.net/assets/docs/finanalysis/html/b3fab79c-f4b2-40fb-8709-fdba43cdb363.htm More...
Public Member Functions | |
| LeastSquaresMovingAverage (string name, int period) | |
| Initializes a new instance of the LeastSquaresMovingAverage class. More... | |
| LeastSquaresMovingAverage (int period) | |
| Initializes a new instance of the LeastSquaresMovingAverage class. More... | |
| override void | Reset () |
| Resets this indicator and all sub-indicators (Intercept, Slope) More... | |
 Public Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
Public Attributes | |
| int | WarmUpPeriod => Period |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
| Public Attributes inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| int | Period |
| Gets the period of this window indicator More... | |
| override bool | IsReady |
| Gets a flag indicating when this indicator is ready and fully initialized More... | |
| virtual int | WarmUpPeriod |
| Required period, in data points, to the indicator to be ready and fully initialized More... | |
Protected Member Functions | |
| override decimal | ComputeNextValue (IReadOnlyWindow< IndicatorDataPoint > window, IndicatorDataPoint input) |
| Computes the next value of this indicator from the given state More... | |
| Protected Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| WindowIndicator (string name, int period) | |
| Initializes a new instance of the WindowIndicator class More... | |
| override decimal | ComputeNextValue (T input) |
| Computes the next value of this indicator from the given state More... | |
| abstract decimal | ComputeNextValue (IReadOnlyWindow< T > window, T input) |
| Computes the next value for this indicator from the given state. More... | |
Properties | |
| IndicatorBase< IndicatorDataPoint > | Intercept [get] |
| The point where the regression line crosses the y-axis (price-axis) More... | |
| IndicatorBase< IndicatorDataPoint > | Slope [get] |
| The regression line slope More... | |
| Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Detailed Description
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: https://rtmath.net/assets/docs/finanalysis/html/b3fab79c-f4b2-40fb-8709-fdba43cdb363.htm
Definition at line 29 of file LeastSquaresMovingAverage.cs.
Constructor & Destructor Documentation
◆ LeastSquaresMovingAverage() [1/2]
| QuantConnect.Indicators.LeastSquaresMovingAverage.LeastSquaresMovingAverage | ( | string | name, |
| int | period | ||
| ) |
Initializes a new instance of the LeastSquaresMovingAverage class.
- Parameters
-
name The name of this indicator period The number of data points to hold in the window
Definition at line 56 of file LeastSquaresMovingAverage.cs.
◆ LeastSquaresMovingAverage() [2/2]
| QuantConnect.Indicators.LeastSquaresMovingAverage.LeastSquaresMovingAverage | ( | int | period | ) |
Initializes a new instance of the LeastSquaresMovingAverage class.
- Parameters
-
period The number of data points to hold in the window.
Definition at line 68 of file LeastSquaresMovingAverage.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value of this indicator from the given state
- Parameters
-
window input The input given to the indicator
- Returns
- A new value for this indicator
Definition at line 81 of file LeastSquaresMovingAverage.cs.
◆ Reset()
| override void QuantConnect.Indicators.LeastSquaresMovingAverage.Reset | ( | ) |
Resets this indicator and all sub-indicators (Intercept, Slope)
Definition at line 103 of file LeastSquaresMovingAverage.cs.
Member Data Documentation
◆ WarmUpPeriod
| int QuantConnect.Indicators.LeastSquaresMovingAverage.WarmUpPeriod => Period |
Required period, in data points, for the indicator to be ready and fully initialized.
Definition at line 49 of file LeastSquaresMovingAverage.cs.
Property Documentation
◆ Intercept
|
get |
The point where the regression line crosses the y-axis (price-axis)
Definition at line 39 of file LeastSquaresMovingAverage.cs.
◆ Slope
|
get |
The regression line slope
Definition at line 44 of file LeastSquaresMovingAverage.cs.
The documentation for this class was generated from the following file:
- Indicators/LeastSquaresMovingAverage.cs
