I'm researching an algorithm that uses fundamental data to calculate a ranking of stocks that (I hope) will correlate with future returns. As I need two years of data to calculate some of the ratios, and as I'm pulling multiple fundamentals for all companies, my query fundamentals function returns a 3D pandas panel. I'm finding it difficult to figure out how to manipulate the panel. I understand the basics of dataframes, but there seems to be few panel methods available in pandas and little documentation of how to work with panels. Can anyone point me to a resource (tutorial, documentation, algo notebook)? If not, is there anything of a general nature on using the Research platform to work with financial ratios?
I couldnt be bothered to work with the panels, I find it more convenient to loop over multiple requests.
You can do longitudinal ratios etc by running your first query on your normal criteria 'today', then run a second query for two years ago which filters based on sid isin(firstDF.index), assuming you've transposed the data frame.
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