Comment on page
Default rolling LME future strategies
Primer on default rolling LME future strategies available within the framework.
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
Output
la_lme_comdty_f_0??
@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",
)
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) |