'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, 1)
my_end = dtm.date(2021, 12, 31)
# Define function for creating multiple RollingFutureStrategies
def create_rfs(instrument):
rfs = sig.RollingFutureStrategy(
currency = instrument.currency,
contract_code = instrument.contract_code,
contract_sector = instrument.contract_sector,