Merge pull request #1508 from quantopian/forward-window-safety-in-demean

BUG: F.window_safe implies f.demean().window_safe.

Author: Scott Sanderson

tests/pipeline/test_factor.py

@@ -1047,3 +1047,14 @@ def test_demean(self):
     def test_zscore(self):
         r = F().zscore().short_repr()
         self.assertEqual(r, "GroupedRowTransform('zscore')")
+
+
+class TestWindowSafety(TestCase):
+
+    def test_zscore_is_window_safe(self):
+        self.assertTrue(F().zscore().window_safe)
+
+    def test_demean_is_window_safe_if_input_is_window_safe(self):
+        self.assertFalse(F().demean().window_safe)
+        self.assertFalse(F(window_safe=False).demean().window_safe)
+        self.assertTrue(F(window_safe=True).demean().window_safe)

zipline/pipeline/factors/factor.py

@@ -509,6 +509,7 @@ def demean(self, mask=NotSpecified, groupby=NotSpecified):
             groupby=groupby,
             dtype=self.dtype,
             missing_value=self.missing_value,
+            window_safe=self.window_safe,
             mask=mask,
         )