Default rolling future strategies

Primer on default rolling future strategies available within the framework.

Introduction

The below list contains the current available default strategy methods for instantiating a RollingFutureStrategy object with a set of parameters.

These default strategies can be imported via the following:

from sigtech.framework.default_strategy_objects.rolling_futures import *

The different parameters can vary from default strategy to default strategy, and some contracts might have more than one default strategy with varying parameters. The easiest way to see which parameters are used is to look at the source code of any given default strategy. An example is shown below:

bo_comdty_f_0??

Default strategy list

MethodDescription

bo_comdty_f_0

Soybean Oil Future

bo_comdty_long_carry

Soybean Oil Future

c_comdty_f_0

Corn Future

c_comdty_long_carry

Corn Future

c_comdty_seasonal

Corn Future

ca_comdty_f_0

Milling Wheat Future

cc_comdty_f_0

Cocoa Future

cc_comdty_seasonal

Cocoa Future

cl_comdty_f_0

Crude Oil Future

cl_comdty_dec

Crude Oil Future

cl_comdty_energy

Crude Oil Future

cl_comdty_rici

Crude Oil Future

cn_comdty_front

Canada 10YR Gov Bond Future

co_comdty_f_0

Brent Crude Future

co_comdty_f_0_short

Brent Crude Future

co_comdty_dec

Brent Crude Future

co_comdty_energy

Brent Crude Future

ct_comdty_f_0

Cotton Future

ct_comdty_long_carry

Cotton Future

ct_comdty_mcq_long_carry

Cotton Future

ct_comdty_seasonal

Cotton Future

du_comdty_front

Euro German Shatz Future

ed_comdty_front

Eurodollar Future

fv_comdty_front

US 5YR Note Future

fv_comdty_prev_month

US 5YR Note Future

g_comdty_front

Long Gilt Future

g_comdty_prev_month

Long Gilt Future

gc_comdty_pre_rol

Gold Future

gc_comdty_rici

Gold Future

hg_comdty_f_0

Copper Future CME

ho_comdty_f_0

NY Harbor ULSD Future

ho_comdty_dec

NY Harbor ULSD Future

ho_comdty_energy

NY Harbor ULSD Future

ho_comdty_long_carry

NY Harbor ULSD Future

ij_comdty_f_0

Rapeseed Future

jb_comdty_front

Japan 10YR Gov Bond Future

kc_comdty_seasonal

Coffee Future

kw_comdty_f_0

Kansas City HRW Wheat Future

kw_comdty_long_carry

Kansas City HRW Wheat Future

kw_comdty_seasonal

Kansas City HRW Wheat Future

la_comdty_f_0

Aluminium Future

lc_comdty_f_0

Live Cattle Future

lc_comdty_long_carry

Live Cattle Future

lc_comdty_seasonal

Live Cattle Future

lh_comdty_f_0

Lean Hogs Future

lh_comdty_long_carry

Lean Hogs Future

lh_comdty_seasonal

Lean Hogs Future

ll_comdty_f_0

Lead Future

lp_comdty_f_0

Copper Future LME

lx_comdty_f_0

Zinc Future

mw_comdty_f_0

Spring Wheat Future

ng_comdty_f_0

Henry Hub Natural Gas Future

ng_comdty_djubs

Henry Hub Natural Gas Future

ng_comdty_long_carry

Henry Hub Natural Gas Future

oe_comdty_front

Euro German Bobl Future

pl_comdty_pre_roll

Platinum Future

pl_comdty_rici

Platinum Future

qc_comdty_f_0

Cocoa Future ICE

qs_comdty_f_0

Gas Oil Future ICE

qs_comdty_dec

Gas Oil Future ICE

qw_comdty_f_0

White Sugar Future

qw_comdty_seasonal

White Sugar Future

rs_comdty_f_0

Rapeseed (Canola) Future

rx_comdty_front

Euro German Bund Future

s_comdty_f_0

Soybeans Future

s_comdty_long_carry

Soybeans Future

s_comdty_seasonal

Soybeans Future

sb_comdty_f_0

Sugar Future

sb_comdty_mcq_long_carry

Sugar Future

sb_comdty_seasonal

Sugar Future

si_comdty_pre_roll

Silver Future

sm_comdty_f_0

Soybean Meal Future

tu_comdty_front

US 2YR Note Future

tu_comdty_prev_month

US 2YR Note Future

ty_comdty_front

US 10YR Note Future

ty_comdty_front_short

US 10YR Note Future

ty_comdty_prev_month

US 10YR Note Future

ub_comdty_front

Euro Buxl Future

us_comdty_front

US Long Bond Future

us_comdty_prev_month

US Long Bond Future

w_comdty_f_0

Wheat Future

w_comdty_long_carry

Wheat Future

w_comdty_seasonal

Wheat Future

wn_comdty_front

US Ultra Bond Future

xbw_comdty_f_0

Gasoline-Reformulated Blendstock Future

xbw_comdty_energy

Gasoline-Reformulated Blendstock Future

xbw_comdty_long_carry

Gasoline-Reformulated Blendstock Future

xm_comdty_front

Australia 10YR Gov Bond Future

ad_curncy_front

AUD Future

bp_curncy_front

GBP Future

bp_curncy_front_short

GBP Future Short

cd_curncy_front

CAD Future

ec_curncy_front

EUR Future

jy_curncy_front

JPY Future

no_curncy_front

NOK Future

nv_curncy_front

NZD Future

se_curncy_front

SEK Future

sf_curncy_front

CHF Future

ai_index_front

FTSE/JSE 40 Index Future

ca_index_front

Eurostoxx Banks Future

cf_index_front

CAC 40 Index Future

eo_index_front

AEX Index Future

es_index_front

E-mini S&P 500 Index Future

es_index_front_excess_exc_tcost

E-mini S&P 500 Index Future

es_index_front_short

E-mini S&P 500 Index Future

gx_index_front

DAX Index Future

ih_index_front

S&P CNX Nifty Index Futures

km_index_front

KOSPI 200 Index Future

mes_index_front

Mini MSCI Emergin Markets Index Future

nx_index_front

Nikkei 225 Index Future

nh_index_front

Nikkei 225 Index Future (Yen)

nk_index_front

OMX Helsinki Future

nq_index_front

E-mini NASDAQ 100 Index Future

oi_index_front

OBX Index Future

pt_index_front

S&P Canada 60 Future

qc_index_front

OMXS30 Index Future

rty_index_front

E-mini Russel 2000 Index Future

sm_index_front

Swiss Market Index Future

st_index_front

MIB FTSE Index Future

tp_index_front

TOPIX Index Future

vg_index_front

Euro STOXX 50 Index Future

xp_index_front

SPI 200 Index Future

xu_index_front

China A50 Index Future

z_index_front

FTSE 100 Index Future

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