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ENH: Add builtin factors for correlation and regression

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dmichalowicz
2016-05-18 15:11:12 -04:00
parent da77e88786
commit 1ec0bced6d
15 changed files with 636 additions and 56 deletions
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docs/source/whatsnew/1.0.0.txt
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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
~~~~~~~~~~~~~~~~~~~~~