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Set RollingLinearRegressionOfReturns factor to be window_safe. #1902

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merged 1 commit into from Aug 3, 2017

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dstaple commented Aug 2, 2017

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.

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coveralls commented Aug 2, 2017

Coverage Status

Coverage increased (+0.0008%) to 87.493% when pulling b8c5b84 on dstaple:master into ea677bb on quantopian:master.

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ssanderson commented Aug 3, 2017

@dstaple thanks for the PR!

@ssanderson ssanderson merged commit 1d13794 into quantopian:master Aug 3, 2017

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