Rolling

Commands

factors
Refit factor OLS on a rolling window and emit per-factor betas through time
mean
Calculate the rolling mean of a target column over a moving window
quantile
Calculate the rolling quantile of a target column over a moving window
variance
Calculate the rolling variance of a target column over a moving window
stdev
Calculate the rolling standard deviation of a target column over a moving window
kurtosis
Calculate the rolling kurtosis of a target column over a moving window
skew
Calculate the rolling skew of a target column over a moving window