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ENH: Mark statistical terms as window_safe.

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Scott Sanderson
2016-11-01 12:16:34 -04:00
parent 2b6fbdc202
commit 2c087ef77b
1 changed files with 4 additions and 0 deletions
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zipline/pipeline/factors/statistical.py
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@@ -75,6 +75,8 @@ class RollingPearson(_RollingCorrelation):
Most users should call Factor.pearsonr rather than directly construct an
instance of this class.
"""
window_safe = True
def compute(self, today, assets, out, base_data, target_data):
# If `target_data` is a Slice or single column of data, broadcast it
# out to the same shape as `base_data`, then compute column-wise. This
@@ -119,6 +121,8 @@ class RollingSpearman(_RollingCorrelation):
Most users should call Factor.spearmanr rather than directly construct an
instance of this class.
"""
window_safe = True
def compute(self, today, assets, out, base_data, target_data):
# If `target_data` is a Slice or single column of data, broadcast it
# out to the same shape as `base_data`, then compute column-wise. This