Default rolling LME future strategies
Primer on default rolling LME future strategies available within the framework.
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:
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:
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) |
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