While in principle possible, @Anton Karatkevich, what data would you want to back up? Sure, you could download some key tables, but that wouldn't preserve allocation lines or anything like that.
We do something like that for key data: BUs, business services, applications, drilling down to Cost Pools and IT Towers.
Every year I run a report that feeds 8 historical data tables. We then have a look-back report spanning data from 2017 to today. Since it's a one-off, I haven't bothered with a Datalink connector, but it could be done.
I described this process in my blog post here (link). Let me know if you need more information.