Merge c10af2a into 9103516

docs/source/whatsnew/1.0.2.txt

@@ -26,6 +26,9 @@ Enhancements
   :meth:`~zipline.pipeline.factors.Factor.top`, and
   :meth:`~zipline.pipeline.factors.Factor.bottom`. (:issue:`1349`).
 
+- Added a smoothing filter that adds 'stickiness' to its input,
+  making boolean designations less volatile over time. (:issue:`1358`)
+
 Bug Fixes
 ~~~~~~~~~
 

tests/pipeline/test_filter.py

@@ -21,6 +21,7 @@
     ones,
     ones_like,
     putmask,
+    reshape,
     rot90,
     sum as np_sum
 )
@@ -395,6 +396,35 @@ def test_isfinite(self):
         )
         check_arrays(results['isfinite'], isfinite(data))
 
+    def test_strictly_true_filter(self):
+        from zipline.pipeline.filters import StrictlyTrueFilter
+
+        data = ~eye(N=self.default_shape[0],
+                    M=self.default_shape[1],
+                    k=1,
+                    dtype=bool)
+
+        class InputFilter(Filter):
+            inputs = ()
+            window_length = 0
+
+        strictly_true_filter = StrictlyTrueFilter(
+            inputs=[InputFilter()],
+            window_length=self.default_shape[0]
+        )
+
+        results = self.run_graph(
+            TermGraph({'Filter': strictly_true_filter}),
+            initial_workspace={InputFilter(): data}
+        )
+
+        expected_result = full(self.default_shape[1], False, dtype=bool)
+        expected_result[0] = True
+        check_arrays(
+            reshape(results['Filter'], expected_result.shape[0]),
+            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 @@
     NumExprFilter,
     PercentileFilter,
     SingleAsset,
+    StrictlyTrueFilter,
 )
 
 __all__ = [
@@ -20,4 +21,5 @@
     'NumExprFilter',
     'PercentileFilter',
     'SingleAsset',
+    'StrictlyTrueFilter',
 ]

zipline/pipeline/filters/filter.py

@@ -488,3 +488,17 @@ def _compute(self, arrays, dates, assets, mask):
                 asset=self._asset, start_date=dates[0], end_date=dates[-1],
             )
         return out
+
+
+class StrictlyTrueFilter(CustomFilter):
+    """
+    A Filter that requires its inputs to have
+    been True for the last `window_length` days.
+
+    **Default Inputs**: None
+
+    **Default Window Length**: None
+    """
+
+    def compute(self, today, assets, out, arg):
+        out[:] = (sum(arg) == self.window_length)