I think what I am suggesting is much easier than anyone realizes.
Doesn’t P123 create an array when in does a sim? Matrix or DataFrame may be other terms.
The rows are the stocks and the dates (probably a hierarchical index).
The columns are the ranks of the features and functions. There is also a “label.” The label is the future returns for the ticker and date (the index). The label is just another column in the array.
[color=firebrick]You will still use ranks in the data. You will still use ranks in the array.[/color]
I just want to move that m x n array over to a server with Python on it. I want to move an array that I think must already exist.
I just want to manipulate that array with a Python library. It is quite amazing what can be done to that array using the already existing libraries. These libraries are as easy to use as the programming at P123 for a screener—once you get used to it.
I think the linear manipulation of that array–that we do now–is limiting. Limiting and it causes a whole host of problems. There are other ways to do it. But when the present linear manipulation of the ranks works—and it often will–stick with it.
I guess my question is does that array already exist? Is it that hard to move it to a server with Python on it?
ARE RANK DOWNLOADS EVEN LIMITED BY THE DATA PROVIDERS?
My ignorance of programming is showing, no doubt.
[color=firebrick]BUT I DO KNOW THIS: BAGGING THAT ARRAY IS TRIVIAL WITH THE PYTHON LIBRARIES.[/color]
[color=firebrick]I ALSO KNOW THIS: AT THE END OF THE DAY YUVAL IS RIGHT. BEING ABLE TO BAG THAT ARRAY IS A GOOD THING.[/color]
[color=firebrick]AND THIS: BAGGING IS JUST THE START OF WHAT CAN BE DONE.[/color]
[color=crimson]AND THIS: THE ARRAY–AND PERHAPS ALTERNATIVE DATA–IS ALL THAT SEPARATES US FROM AQR CAPITAL MANAGEMENT.
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I do not want to turn off any abilities P123 has now. I think I will still use what we have now, too. Thanks.
-Jim