Default rolling LME future strategies

Introduction

The following default strategies are created using a custom RollingLMEFutureStrategy class. Each of the default strategies follow the rolling rule F_0.

These default strategies can be imported via the following:

from sigtech.framework.default_strategy_objects.rolling_lme_futures import *

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:

la_lme_comdty_f_0??

Output:

@recorded_lru_cache()
def la_lme_comdty_f_0() -> RollingLMEFutureStrategy:
    """
    Define a rolling LME future strategy in USD with contract code ``'LA'`` (Primary Aluminium)
    and rolling rule ``'F_0'``.
    """
    return RollingLMEFutureStrategy(
        currency="USD",
        start_date=datetime.date(2014, 1, 2),
        contract_code="LA",
        contract_sector="COMDTY",
        rolling_rule="F_0",
        db_ticker="USD LA COMDTY LONG F_0 RLMEFS",
    )

Default strategies list

The following default strategies are created using a custom RollingLMEFutureStrategy class. Each of the default strategies follow the rolling rule F_0 .

Method	Metal
la_lme_comdty_f_0	Primary Aluminium
ll_lme_comdty_f_0	Lead
ln_lme_comdty_f_0	Nickel
lp_lme_comdty_f_0	Copper
lt_lme_comdty_f_0	Tin
lx_lme_comdty_f_0	Zinc
ly_lme_comdty_f_0	Aluminium Alloy
lk_lme_comdty_f_0	Aluminium
gbp_la_lme_comdty_f_0	Primary Aluminium (FX Hedged in GBP)