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3. Single-instrument futures strategy
Learn how to create, test and customise a simple strategy based on a single commodity future instrument.
In SigTech's Research environment, create a new notebook and run the following three code blocks:
# Import necessary libraries
import sigtech.framework as sig
import datetime as dtm
# Initalise the environment
# Define the instrument to use in this strategy
# The object name "KC COMDTY FUTURES GROUP" refers to coffee futures contract group.
# You can find other financial instruments in the SigTech platform's Data section.
my_instrument = sig.obj.get("KC COMDTY FUTURES GROUP")
# Create the strategy using the RollingFutureStrategy building block
my_rfs = sig.RollingFutureStrategy(
# Define the historical period to run the strategy in
# (this example runs from 1 Jan 2019 to 31 Dec 2021):
start_date=dtm.date(2019, 1, 4),
end_date=dtm.date(2021, 12, 31),
# Use the currency, contract code and contract sector corresponding
# to this instrument
# Define the rolling rule for this strategy
# 'F-0' refers to a type of rolling rule
Make sure you understand SigTech basics by customising this strategy:
The code within this page only works with futures data.
i. Find an instrument you're interested in:
Coffee Futures (KC)
ii. Click VIEW DETAILS to obtain the correct object name for referring to it in code:
"KC COMDTY FUTURES GROUP"
Try running the strategy over a different historical period by changing the
Run the following code to view the docstring corresponding to the instrument you're using in this strategy:
Run the following code to view the docstring corresponding to the