Join GitHub today
GitHub is home to over 28 million developers working together to host and review code, manage projects, and build software together.Sign up
Set RollingLinearRegressionOfReturns factor to be window_safe. #1902
As far as I can tell, RollingLinearRegressionOfReturns is window safe, but is not marked as such, preventing it from being used in CustomFactor classes. I have not tested building zipline with this one-line change, but I successfully subclassed RollingLinearRegressionOfReturns on Quantopian and verified that it functions without error.