Alexa reports data for sites with at least some traffic. For web sites with ranking below 2.000.000, metrics will not be returned.
2.000.000 is a reasonable threshold in our view. If your widgets show "No data" warning, keep working on your SEO and you should start seeing your metrics soon.
Alexa will return data for the last 4 years only. Queries for older dates will not return any information.