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:

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:

la_lme_comdty_f_0??

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 .

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