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

bo_comdty_f_0??

Output

@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