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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What: Extend
LeastSquaresMovingAverageto regress a target symbol against a benchmark reference symbol.Why: Issue #6984 requested an LSMA overload that accepts a benchmark reference instead of only regressing target values against a fixed time index.
How: Added reference-symbol constructors, a
QCAlgorithm.LSMAoverload, matched target/reference timestamp buffering, and reference-value regression when paired samples are ready.Edge cases handled: Target-first and reference-first updates are supported; mismatched timestamps wait for a matching pair; reset clears pending target/reference state; unexpected target symbols are rejected.
Tests added/updated: Added LSMA reference-mode tests for target-first updates, reference-first updates, timestamp matching, and reset behavior. Build validation completed for
Tests/QuantConnect.Tests.csproj; focused local test execution was blocked by the existing pythonnet GIL finalizer crash before test execution.