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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 Most users should call Factor.pearsonr rather than directly construct an
instance of this class. instance of this class.
""" """
window_safe = True
def compute(self, today, assets, out, base_data, target_data): def compute(self, today, assets, out, base_data, target_data):
# If `target_data` is a Slice or single column of data, broadcast it # 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 # 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 Most users should call Factor.spearmanr rather than directly construct an
instance of this class. instance of this class.
""" """
window_safe = True
def compute(self, today, assets, out, base_data, target_data): def compute(self, today, assets, out, base_data, target_data):
# If `target_data` is a Slice or single column of data, broadcast it # 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 # out to the same shape as `base_data`, then compute column-wise. This