Rolling FX forward strategy

Inheriting from the DailyStrategy base class, RollingFXForwardStrategy shorts the strategy currency (normally USD) and goes long long_currency in rolling FX forwards.

Initialize SigTech

Import Python libraries:

import datetime as dtm
import numpy as np
import pandas as pd

import sigtech.framework as sig

Initialize the SigTech framework environment:

env = sig.init()

Learn more

Configure the SigTech framework environment

Create a rolling FX forward strategy

Use the sig.RollingFXForwardStrategy class to create a rolling FX forward strategy object. Parameters include: long_currency, currency, forward_tenor, start_date, custom_roll_offset, and end_date.

First, define a helper function, get_fxrf, that creates rolling FX forward strategies:

def get_fxrf(long_ccy, forward_tenor, direction):
    return sig.RollingFXForwardStrategy(
        start_date=dtm.date(2023, 1, 1),
        end_date=dtm.date(2024, 1, 1),
        currency="USD",
        direction=direction,
        forward_tenor=forward_tenor,
        long_currency=long_ccy,
    )

Use the helper function to create a rolling FX forward strategy. This example goes long EUR and shorts USD, with a forward tenor 3M_IMM (every quarter following International Monetary Market dates):

st = get_fxrf("EUR", "3M_IMM", "long")
st

View price data:

st.history().tail()

Plot the price data:

st.history().plot(title='Rolling FX Forward Performance');

API documentation

For more details on the RollingFXForwardStrategy class, refer to its API documentation.