diff --git a/zipline/gens/transform.py b/zipline/gens/transform.py index 60d0be85..51475f45 100644 --- a/zipline/gens/transform.py +++ b/zipline/gens/transform.py @@ -159,8 +159,9 @@ class EventWindow: from the window. Subclass these methods along with init(*args, **kwargs) to calculate metrics over the window. - The market_aware flag is used to toggle whether the eventwindow - calculates + If the market_aware flag is True, the EventWindow drops old events + based on the number of elapsed trading days between newest and oldest. + Otherwise old events are dropped based on a raw timedelta. See zipline/gens/mavg.py and zipline/gens/vwap.py for example implementations of moving average and volume-weighted average