Submitting Processed Factors and Handling Monthly Factor Values
Summary
This forum exchange addresses two practical questions about factor analysis: how to submit a factor that needs Python processing beyond SQL, and whether factor values must exist for every stock on every trading day. The reply says the SQL field may be left blank when it is only for display, and recommends daily records for analysis. For sparse data, it suggests joining the factor data to a daily index series and forward-filling missing values so each date has a record.
The discussion does not resolve how to submit a factor that is subsequently used in a strategy, despite the original poster clarifying that this is their need. It also does not explain whether forward-filling is appropriate for every type of factor or how the platform handles monthly observations. The advice is therefore a platform-specific starting point, not a complete workflow or a general rule for factor construction.
Key ideas
- A factor that requires Python processing may not be handled by the display-oriented SQL field alone.
- The reply recommends a daily observation for each stock and trading date in factor analysis.
- Sparse monthly data can be aligned to a daily index series and forward-filled to create daily records.
- Forward-filling may not suit every factor or strategy, and the exchange leaves the strategy-submission question unanswered.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.