REF: set _selection only in __init__

pandas/core/resample.py

@@ -139,6 +139,8 @@ def __init__(
         groupby: TimeGrouper,
         axis: int = 0,
         kind=None,
+        *,
+        selection=None,
         **kwargs,
     ):
         self.groupby = groupby
@@ -152,6 +154,7 @@ def __init__(
 
         self.groupby._set_grouper(self._convert_obj(obj), sort=True)
         self.binner, self.grouper = self._get_binner()
+        self._selection = selection
 
     @final
     def _shallow_copy(self, obj, **kwargs):
@@ -1080,13 +1083,16 @@ def _gotitem(self, key, ndim, subset=None):
         except IndexError:
             groupby = self._groupby
 
-        self = type(self)(subset, groupby=groupby, parent=self, **kwargs)
-        self._reset_cache()
+        selection = None
         if subset.ndim == 2 and (
-            lib.is_scalar(key) and key in subset or lib.is_list_like(key)
+            (lib.is_scalar(key) and key in subset) or lib.is_list_like(key)
         ):
-            self._selection = key
-        return self
+            selection = key
+
+        new_rs = type(self)(
+            subset, groupby=groupby, parent=self, selection=selection, **kwargs
+        )
+        return new_rs
 
 
 class DatetimeIndexResampler(Resampler):

pandas/core/window/ewm.py

@@ -268,6 +268,8 @@ def __init__(
         ignore_na: bool = False,
         axis: Axis = 0,
         times: str | np.ndarray | FrameOrSeries | None = None,
+        *,
+        selection=None,
     ):
         super().__init__(
             obj=obj,
@@ -277,6 +279,7 @@ def __init__(
             closed=None,
             method="single",
             axis=axis,
+            selection=selection,
         )
         self.com = com
         self.span = span

pandas/core/window/expanding.py

@@ -102,9 +102,15 @@ def __init__(
         center=None,
         axis: Axis = 0,
         method: str = "single",
+        selection=None,
     ):
         super().__init__(
-            obj=obj, min_periods=min_periods, center=center, axis=axis, method=method
+            obj=obj,
+            min_periods=min_periods,
+            center=center,
+            axis=axis,
+            method=method,
+            selection=selection,
         )
 
     def _get_window_indexer(self) -> BaseIndexer:

pandas/core/window/rolling.py

@@ -123,6 +123,8 @@ def __init__(
         on: str | Index | None = None,
         closed: str | None = None,
         method: str = "single",
+        *,
+        selection=None,
     ):
         self.obj = obj
         self.on = on
@@ -150,6 +152,8 @@ def __init__(
                 f"invalid on specified as {self.on}, "
                 "must be a column (of DataFrame), an Index or None"
             )
+
+        self._selection = selection
         self.validate()
 
     @property
@@ -242,16 +246,22 @@ def _gotitem(self, key, ndim, subset=None):
         # create a new object to prevent aliasing
         if subset is None:
             subset = self.obj
-        # TODO: Remove once win_type deprecation is enforced
+
+        # we need to make a shallow copy of ourselves
+        # with the same groupby
         with warnings.catch_warnings():
+            # TODO: Remove once win_type deprecation is enforced
             warnings.filterwarnings("ignore", "win_type", FutureWarning)
-            self = type(self)(
-                subset, **{attr: getattr(self, attr) for attr in self._attributes}
-            )
-        if subset.ndim == 2:
-            if is_scalar(key) and key in subset or is_list_like(key):
-                self._selection = key
-        return self
+            kwargs = {attr: getattr(self, attr) for attr in self._attributes}
+
+        selection = None
+        if subset.ndim == 2 and (
+            (is_scalar(key) and key in subset) or is_list_like(key)
+        ):
+            selection = key
+
+        new_win = type(self)(subset, selection=selection, **kwargs)
+        return new_win
 
     def __getattr__(self, attr: str):
         if attr in self._internal_names_set: