Default strategies

This page shows the default strategies that are available within the framework. The strategy objects are intended to speed up the process of strategy creation as common strategies can be called with a single line of code.

Note: the default strategies described in this section are unrelated to the example notebooks which can be access in the research environment. For more information, see Example notebooks.

Available default strategies

Default Rolling Future Strategies

Default Rolling FX Forward Strategies

Default Single Stock Reinvestment Strategies

Default ETF Reinvestment Strategies

Default Rolling Option Strategies

Default Rolling Bond Strategies

Default Rolling Swap Strategies

Default Rolling FX-hedged Swap Strategies

Default Rolling LME Future Strategies

Example use of default strategies

Setting up your environment takes three steps:

Import the relevant internal and external libraries
Configure the environment parameters
Initialise the environment

import sigtech.framework as sig
import datetime as dtm
import seaborn as sns

sns.set(rc={'figure.figsize':(18,6)})
sig.config.init();

Learn more: setting up the environment.

To use a default strategy within the platform, they must be imported. An example for RollingFutureStrategy default strategies is shown here:

from sigtech.framework.default_strategy_objects.rolling_futures import *

The following example shows how these default strategies are used to create a simple BasketStrategy object of several RollingFutureStrategy objects:

assets = {
    'Treasury Futures (TY)': ty_comdty_front().name,
    'Corn Futures (C)': c_comdty_f_0().name,
    'Soybean Futures (S)': s_comdty_f_0().name,
    'Sugar Futures (SB)': sb_comdty_f_0().name,
    'Cotton Futures (CT)': ct_comdty_f_0().name,
    'Live Cattle Futures (LC)': lc_comdty_f_0().name,
    'Soybean Oil Futures (BO)': bo_comdty_f_0().name,
    'Brent Crude Futures (CO)': co_comdty_f_0().name,
    'Gas Oil Futures (QS)': qs_comdty_f_0().name,
    'Heating Oil Futures (HO)': ho_comdty_f_0().name,
    'S&P Futures (ES)': es_index_front().name,
    'Nasdaq Futures (NQ)': nq_index_front().name
}

sig.BasketStrategy(
    constituent_names = assets.values(),
    start_date = dtm.date(2010, 1, 4),
    currency = 'USD',
    weights = [1 / len(assets.values())] * len(assets.values()),
    rebalance_frequency = '1M'
).history().plot()

Available default strategies

Example use of default strategies

See also: