6. Multi-instrument signal strategy

6. Multi-instrument signal strategy#

A multi-asset signal strategy#

1. Multi-instrument RollingFutureStrategy setup#

The first few code blocks are very close to what you already used to create multi-instrument Rolling Future Strategy in tutorial 4.

Set up environment#

Note that for this tutorial we will need the pandas library:

import sigtech.framework as sig
import datetime as dtm
import pandas as pd

sig.init();

Define instruments, time period, and RollingFutureStrategy function#

my_instruments = [
    'C  COMDTY FUTURES GROUP', # corn
    'S  COMDTY FUTURES GROUP', # soybeans
    'SB COMDTY FUTURES GROUP' # sugar
]

my_instruments = [sig.obj.get(i) for i in my_instruments]

my_start = dtm.date(2019, 1, 4)
my_end = dtm.date(2021, 12, 31)
    
# Define function for creating multiple RollingFutureStrategies
def create_rfs(instrument):
    rfs = sig.RollingFutureStrategy(
        start_date=my_start,
        end_date=my_end,
        currency = instrument.currency,
        contract_code = instrument.contract_code,
        contract_sector = instrument.contract_sector,
        rolling_rule='F_0'
    )
    return rfs.name

Add the RollingFutureStrategy instances to a dictionary#

basket = {}

# Populate the dictionary with the chosen instruments:
for instrument in my_instruments:
    basket[instrument.asset] = create_rfs(instrument)

2. Loop to create multi-instrument DataFrame of signals#

This following code is very similar to that used in the previous tutorial, except you’re using a loop to create signals for multiple instruments, and combining them into a single DataFrame:

# List to store signals for all assets
all_signals = []

# Loop through all provided assets
for key, strategy_name in basket.items():
    
    # Duplicate the instrument's history Series and reset its values
    signals = sig.obj.get(strategy_name).history()
    signals.values[:] = 0
    
    # Assign signals as per your strategy
    signals.loc[signals.index.month <= 4] = -1 
    signals.loc[signals.index.month >= 8] = 1 
    
    # Convert the signal Series into a DataFrame
    # Give it the same name as the corresponding RollingFutureStrategy instance
    # Add the signal for this asset to the list of stored signals.
    all_signals.append(signals.to_frame(strategy_name))
    
# Convert the list to a DataFrame and remove all NaN values
all_signals_df = pd.concat(all_signals, axis=1).dropna()

# View signals DataFrame
all_signals_df

3. Define SignalStrategy#

This step is identical to defining a single-instrument SignalStrategy, except for the reference to the new DataFrame:

seasonal_strategy = sig.SignalStrategy(
    
    # Reference the multi-instrument hsignals DataFrame
    signal_name=sig.signal_library.from_ts(all_signals_df).name,
    
    start_date=my_start,
    end_date=my_end,
    currency='USD',
    rebalance_frequency='SOM',
    allocation_function=sig.signal_library.allocation.normalize_weights,
)

4. View performance#

seasonal_strategy.plot.performance()

:construction_worker:Your turn: customise the strategy#

  1. Add additional instruments

  2. Try a different set of signals.