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.
class LeastSquaresMovingAverageAlgorithm(QCAlgorithm): def initialize(self) -> None: self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol self._lsma = self.lsma(self._symbol, 20) def on_data(self, slice: Slice) -> None: if self._lsma.is_ready: # 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(symbol, period, resolution=None, selector=None)
[source]Creates and registers a new Least Squares Moving Average instance.
- symbol (Symbol) — The symbol whose LSMA we seek.
- period (int) — The LSMA period. Normally 14.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
A LeastSquaredMovingAverage configured with the specified period
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.
class LeastSquaresMovingAverageAlgorithm(QCAlgorithm): def initialize(self) -> None: self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol self._lsma = LeastSquaresMovingAverage(20) def on_data(self, slice: Slice) -> None: bar = slice.bars.get(self._symbol) if bar: self._lsma.update(bar.EndTime, bar.Close) if self._lsma.is_ready: # 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 register_indicator
method.
class LeastSquaresMovingAverageAlgorithm(QCAlgorithm): def initialize(self) -> None: self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol self._lsma = LeastSquaresMovingAverage(20) self.register_indicator(self._symbol, self._lsma, Resolution.DAILY) def on_data(self, slice: Slice) -> None: if self._lsma.is_ready: # 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
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
get_enumerator()
Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
reset()
Resets this indicator and all sub-indicators (Intercept, Slope)
to_detailed_string()
Provides a more detailed string of this indicator in the form of {Name} - {Value}
str
update(time, value)
Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (datetime)
- value (float)
bool
update(input)
Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
bool
consolidators
The data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet[IDataConsolidator]
current
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
intercept
The point where the regression line crosses the y-axis (price-axis)
The point where the regression line crosses the y-axis (price-axis)
IndicatorBase[IndicatorDataPoint]
is_ready
Gets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
item
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
name
Gets a name for this indicator
Gets a name for this indicator
str
period
Gets the period of this window indicator
Gets the period of this window indicator
int
previous
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
samples
Gets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
slope
The regression line slope
The regression line slope
IndicatorBase[IndicatorDataPoint]
warm_up_period
Required period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
int
window
A rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow[IndicatorDataPoint]
Visualization
The following image shows plot values of selected properties of LeastSquaresMovingAverage
using the plotly library.

Indicator History
To get the historical data of the LeastSquaresMovingAverage
indicator, call the self.indicator_history
method.
This method resets your indicator, makes a history request, and updates the indicator with the historical data.
Just like with regular history requests, the indicator_history
method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time.
If you don't provide a resolution
argument, it defaults to match the resolution of the security subscription.
class LeastSquaresMovingAverageAlgorithm(QCAlgorithm): def initialize(self) -> None: self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol lsma = self.lsma(self._symbol, 20) count_indicator_history = self.indicator_history(lsma, self._symbol, 100, Resolution.MINUTE) timedelta_indicator_history = self.indicator_history(lsma, self._symbol, timedelta(days=10), Resolution.MINUTE) time_period_indicator_history = self.indicator_history(lsma, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
To make the indicator_history
method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector
argument.
indicator_history = self.indicator_history(lsma, 100, Resolution.MINUTE, lambda bar: bar.high) indicator_history_df = indicator_history.data_frame
To access the properties of the indicator history, index the DataFrame with the property name.
intercept = indicator_history_df["intercept"] slope = indicator_history_df["slope"] # Alternative way # intercept = indicator_history_df.intercept # slope = indicator_history_df.slope