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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:
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",
)

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)