Hi,
Momentum is often calculated with the prior month removed (i.e., 12 months less 1 month). Is there a way to incorporate this idea into the RollingLinearRegressionOfReturns class (e.g., calculate the beta of the stock over the preceding 12 months, excluding the last month)?
e.g.,
beta = RollingLinearRegressionOfReturns(target=sid(8554), returns_length = 2, regression_length = 252, mask=base_universe).beta, except with the most recent 21 days removed.
Thanks,
Tom
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