Hi， in one of my factor, I like to get a set of periodic data, by that I mean, say today is Sep 2 and I like to check how well a given stock was trading in the past 8 years given a window of 20 days:
from 2019-09-02 to 2019-09-27
from 2018-09-02 to 2018-09-27
from 2017-09-02 to 2017-09-27
......
from 2012-09-02 to 2012-09-27
What I do right now is to set a window length of 8 year long and assign date to each row then get the rows I need. By running Cheng Peng's optimization procedure (https://www.quantopian.com/posts/new-video-learn-from-the-experts-ep-5-alpha-factor-optimization-with-cheng-peng), it becomes very slow, as compared to running on research/IDE.
