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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:
Python
Output
bo_comdty_f_0??
@recorded_lru_cache()
def bo_comdty_f_0():
"""
Define a rolling future strategy in USD with contract code ``'BO'`` (commodity), rolling rule ``'F_0'`` and monthly
rolling days ``'1:2'``.
"""
return RollingFutureStrategy(
{'currency': 'USD', 'start_date': datetime.date(2010, 1, 4), 'contract_code': 'BO', 'contract_sector': 'COMDTY',
'rolling_rule': 'F_0', 'db_ticker': 'USD BO COMDTY Long F_0 RF', 'monthly_roll_days': '1:2'})

Default strategy list

Method
Description
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