ENH: added smoothing to zipline

tests/pipeline/test_filter.py

@@ -395,6 +395,36 @@ class FilterTestCase(BasePipelineTestCase):
         )
         check_arrays(results['isfinite'], isfinite(data))
 
+    def test_smoothing_filter(self):
+        from zipline.pipeline.filters import SmoothingFilter
+
+        data = full(self.default_shape, True, dtype=bool)
+        # one column all false
+        data[0, 0] = False
+        data[1, 1] = False
+
+        class InputFilter(Filter):
+            inputs = ()
+            window_length = 0
+
+        smoothing_filter = SmoothingFilter(
+            inputs=[InputFilter()],
+            window_length=self.default_shape[0]
+        )
+
+        results = self.run_graph(
+            TermGraph({'smoothing': smoothing_filter}),
+            initial_workspace={InputFilter(): data}
+        )
+
+        expected_result = full(self.default_shape[1], True, dtype=bool)
+        expected_result[0] = False
+        expected_result[1] = False
+        check_arrays(
+            results['smoothing'].flatten(),
+            expected_result,
+        )
+
     @parameter_space(factor_len=[2, 3, 4])
     def test_window_safe(self, factor_len):
         # all true data set of (days, securities)

zipline/pipeline/filters/__init__.py

@@ -8,6 +8,7 @@ from .filter import (
     NumExprFilter,
     PercentileFilter,
     SingleAsset,
+    SmoothingFilter,
 )
 
 __all__ = [
@@ -20,4 +21,5 @@ __all__ = [
     'NumExprFilter',
     'PercentileFilter',
     'SingleAsset',
+    'SmoothingFilter',
 ]

zipline/pipeline/filters/filter.py

@@ -8,6 +8,7 @@ from numpy import (
     float64,
     nan,
     nanpercentile,
+    sum as sum_
 )
 
 from zipline.errors import (
@@ -488,3 +489,18 @@ class SingleAsset(Filter):
                 asset=self._asset, start_date=dates[0], end_date=dates[-1],
             )
         return out
+
+
+class SmoothingFilter(CustomFilter):
+    """
+    A Filter that requires its inputs to have
+    been True for the last `window_length` days.
+    An integral part of the Q500US methodology
+
+    **Default Inputs**: None
+
+    **Default Window Length**: None
+    """
+
+    def compute(self, today, assets, out, arg):
+        out[:] = (sum_(arg, axis=0) == self.window_length)