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ENH: Add builtin factors for correlation and regression

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dmichalowicz
2016-04-15 13:00:53 -04:00
parent da77e88786
commit 1ec0bced6d
15 changed files with 636 additions and 56 deletions
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docs/source/appendix.rst
+9
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@@ -215,6 +215,15 @@ Pipeline API
.. autoclass:: zipline.pipeline.factors.BollingerBands
:members:
.. autoclass:: zipline.pipeline.factors.RollingPearsonOfReturns
:members:
.. autoclass:: zipline.pipeline.factors.RollingSpearmanOfReturns
:members:
.. autoclass:: zipline.pipeline.factors.RollingLinearRegressionOfReturns
:members:
.. autoclass:: zipline.pipeline.filters.Filter
:members: __and__, __or__
:exclude-members: dtype
docs/source/whatsnew/1.0.0.txt
+5
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@@ -173,6 +173,11 @@ Enhancements
* Fetcher has been moved from Quantopian internal code into Zipline
(:issue:`1105`).
* Added new built-in factors,
:class:`~zipline.pipeline.factors.RollingPearsonOfReturns`,
:class:`~zipline.pipeline.factors.RollingSpearmanOfReturns` and
:class:`~zipline.pipeline.factors.RollingLinearRegressionOfReturns`
(:issue:`1154`)
Experimental Features
~~~~~~~~~~~~~~~~~~~~~