@Dan Unfortunately what you are suggesting is not currently possible with these factors; they are specifically limited to only computing correlations between the returns of individual stocks. As I mentioned above however, we intend to implement a more generic version of these factors that would allow for more interesting computations such as what you have in mind, so stay tuned and thanks for the feedback!
@Luca In general we still do not support the use of factors as inputs, but with the release of these new correlation/regression factors we have deemed that a select few factors can safely be used as inputs (such as
Returns). The main difficulty of using other factors as inputs here is accounting for splits. For example, if we try to use
SimpleMovingAverage as the input to our regression factor, and our target asset undergoes a split, the regression output would be distorted for any regressions computed over a window containing the date of the split. Factors that are comparable across splits, such as
rank, are other examples (besides
Returns) of factors that could be used as inputs.
@Norbert Thanks for catching that. We have actually implemented a
set_max_leverage method, but have yet to release it for use in the IDE. I made an internal feature request to try to get that out.
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