ENH: Adds LinearWeightedMovingAverage factor

tests/pipeline/test_technical.py

@@ -16,6 +16,7 @@ from zipline.pipeline.factors import (
     Aroon,
     FastStochasticOscillator,
     IchimokuKinkoHyo,
+    LinearWeightedMovingAverage,
     RateOfChangePercentage,
 )
 from zipline.testing import ExplodingObject, parameter_space
@@ -380,3 +381,35 @@ class TestRateOfChangePercentage(ZiplineTestCase):
         out = np.zeros(len(assets))
         rocp.compute(today, assets, out, data)
         assert_equal(out, np.full((len(assets),), expected))
+
+
+class TestLinearWeightedMovingAverage(ZiplineTestCase):
+    def test_wma1(self):
+        wma1 = LinearWeightedMovingAverage(
+            inputs=(USEquityPricing.close,),
+            window_length=10
+        )
+
+        today = pd.Timestamp('2015')
+        assets = np.arange(5, dtype=np.int64)
+
+        data = np.ones((10, 5))
+        out = np.zeros(data.shape[1])
+
+        wma1.compute(today, assets, out, data)
+        assert_equal(out, np.ones(5))
+
+    def test_wma2(self):
+        wma2 = LinearWeightedMovingAverage(
+            inputs=(USEquityPricing.close,),
+            window_length=10
+        )
+
+        today = pd.Timestamp('2015')
+        assets = np.arange(5, dtype=np.int64)
+
+        data = np.arange(50, dtype=float).reshape((10, 5))
+        out = np.zeros(data.shape[1])
+
+        wma2.compute(today, assets, out, data)
+        assert_equal(out, np.array([30.,  31.,  32.,  33.,  34.]))