Default strategies

Rolling future strategies

Predefined rolling future strategies. See sigtech.framework.strategies.rolling_future_strategy for more information about these objects.

sigtech.framework.default_strategy_objects.rolling_futures.ad_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'AD' (Australian dollar), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.ai_index_front(use_cache: bool = True)

Define a rolling future strategy in ZAR with contract code 'AI' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.bo_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'BO' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.bo_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'BO' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.bp_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'BP' (British pound), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.bp_curncy_front_short(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'BP' (British pound), rolling rule 'front', front offset '-4,-4' and strategy direction 'short'.

sigtech.framework.default_strategy_objects.rolling_futures.c_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'C' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.c_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'C' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.c_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'C' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.ca_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'CA' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.ca_index_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'CA' (equity index), rolling rule 'front' and front offset '-4,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.cc_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CC' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.cc_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CC' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.cd_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CD' (Canadian dollar), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.cf_index_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'CF' (equity index), rolling rule 'front' and front offset '-4,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.cl_comdty_dec(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CL' (commodity), rolling rule 'dec' and monthly rolling days '1,10'.

sigtech.framework.default_strategy_objects.rolling_futures.cl_comdty_energy(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CL' (commodity), rolling rule 'energy' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.cl_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CL' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.cl_comdty_rici(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CL' (commodity) and rolling rule 'rici'.

sigtech.framework.default_strategy_objects.rolling_futures.cn_comdty_front(use_cache: bool = True)

Define a rolling future strategy in CAD with contract code 'CN' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.co_comdty_dec(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CO' (commodity), rolling rule 'dec' and monthly rolling days '1,10'.

sigtech.framework.default_strategy_objects.rolling_futures.co_comdty_energy(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CO' (commodity), rolling rule 'energy' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.co_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CO' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.co_comdty_f_0_short(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CO' (commodity), rolling rule 'F_0', monthly rolling days '1,2' and strategy direction 'short'.

sigtech.framework.default_strategy_objects.rolling_futures.ct_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CT' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.ct_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CT' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.ct_comdty_mcq_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CT' (commodity) and rolling rule 'mcq_long_carry'.

sigtech.framework.default_strategy_objects.rolling_futures.ct_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'CT' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.du_comdty_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'DU' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.ec_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'EC' (euro), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.ed_comdty_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'ED' (commodity), rolling rule 'front' and front offset '-6,-6'.

sigtech.framework.default_strategy_objects.rolling_futures.eo_index_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'EO' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.es_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'ES' (equity index), rolling rule 'front' and front offset '-6,-5'.

sigtech.framework.default_strategy_objects.rolling_futures.es_index_front_excess_exc_tcost(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'ES' (equity index), rolling rule 'front', front offset '-6,-5' and excluding trading costs.

sigtech.framework.default_strategy_objects.rolling_futures.es_index_front_short(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'ES' (equity index), rolling rule 'front', front offset '-6,-5' and strategy direction 'short'.

sigtech.framework.default_strategy_objects.rolling_futures.fv_comdty_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'FV' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.fv_comdty_prev_month(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'FV' (commodity), rolling rule 'prev_month' and month end offset '-4,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.g_comdty_front(use_cache: bool = True)

Define a rolling future strategy in GBP with contract code 'G' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.g_comdty_prev_month(use_cache: bool = True)

Define a rolling future strategy in GBP with contract code 'G' (commodity), rolling rule 'prev_month' and month end offset '-4,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.gc_comdty_pre_roll(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'GC' (commodity), rolling rule 'pre_roll' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.gc_comdty_rici(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'GC' (commodity) and rolling rule 'rici'.

sigtech.framework.default_strategy_objects.rolling_futures.gx_index_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'GX' (equity index), rolling rule 'front' and front offset '-4,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.hc_index_front(use_cache: bool = True)

Define a rolling future strategy in HKD with contract code 'HC' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.hg_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'HG' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.hi_index_front(use_cache: bool = True)

Define a rolling future strategy in HKD with contract code 'HI' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.ho_comdty_dec(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'HO' (commodity), rolling rule 'dec' and monthly rolling days '1,10'.

sigtech.framework.default_strategy_objects.rolling_futures.ho_comdty_energy(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'HO' (commodity), rolling rule 'energy' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.ho_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'HO' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.ho_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'HO' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.ih_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'IH' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.ij_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'IJ' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.jb_comdty_front(use_cache: bool = True)

Define a rolling future strategy in JPY with contract code 'JB' (commodity), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.jy_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'JY' (Japanese yen), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.kc_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'KC' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.km_index_front(use_cache: bool = True)

Define a rolling future strategy in KRW with contract code 'KM' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.kw_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'KW' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.kw_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'KW' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.kw_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'KW' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.la_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LA' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.lc_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LC' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.lc_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LC' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.lc_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LC' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.lh_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LH' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.lh_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LH' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.lh_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LH' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.ll_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LL' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.lp_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LP' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.lx_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'LX' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.mes_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'MES' (equity index), rolling rule 'front' and front offset '-4,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.mw_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'MW' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.ng_comdty_djubs(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'NG' (commodity), rolling rule 'djubs' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.ng_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'NG' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.ng_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'NG' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.nh_index_front(use_cache: bool = True)

Define a rolling future strategy in JPY with contract code 'NH' (equity index), rolling rule 'front' and front offset '-4,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.nk_index_front(use_cache: bool = True)

Define a rolling future strategy in JPY with contract code 'NK' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.no_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'NO' (Norwegian krone), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.nq_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'NQ' (equity index), rolling rule 'front' and front offset '-7,-6'.

sigtech.framework.default_strategy_objects.rolling_futures.nv_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'NV' (New Zealand dollar), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.nx_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'MES' (equity index), rolling rule 'front' and front offset '-4,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.oe_comdty_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'OE' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.oi_index_front(use_cache: bool = True)

Define a rolling future strategy in NOK with contract code 'OI' (equity index), rolling rule 'front' and front offset '-2,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.pl_comdty_pre_roll(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'PL' (commodity), rolling rule 'pre_roll' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.pl_comdty_rici(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'PL' (commodity) and rolling rule 'rici'.

sigtech.framework.default_strategy_objects.rolling_futures.pt_index_front(use_cache: bool = True)

Define a rolling future strategy in CAD with contract code 'PT' (equity index), rolling rule 'front' and front offset '-4,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.qc_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in GBP with contract code 'QC' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.qc_index_front(use_cache: bool = True)

Define a rolling future strategy in SEK with contract code 'QC' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.qs_comdty_dec(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'QS' (commodity), rolling rule 'dec' and monthly rolling days '1,10'.

sigtech.framework.default_strategy_objects.rolling_futures.qs_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'QS' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.qw_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'QW' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.qw_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'QW' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.rs_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in CAD with contract code 'RS' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.rty_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'RTY' (equity index), rolling rule 'front' and front offset '-5,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.rx_comdty_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'RX' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.s_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'S' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.s_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'S' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.s_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'S' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.sb_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'SB' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.sb_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'SB' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.sb_comdty_mcq_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'SB' (commodity), rolling rule 'mcq_long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.sb_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'SB' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.se_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'SE' (Swedish krona), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.sf_curncy_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'SF' (Swiss franc), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.si_comdty_pre_roll(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'SI' (commodity), rolling rule 'pre_roll' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.sm_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'SM' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.sm_index_front(use_cache: bool = True)

Define a rolling future strategy in CHF with contract code 'SM' (equity index), rolling rule 'front' and front offset '-5,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.st_index_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'ST' (equity index), rolling rule 'front' and front offset '-4,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.tp_index_front(use_cache: bool = True)

Define a rolling future strategy in JPY with contract code 'TP' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.tu_comdty_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'TU' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.tu_comdty_prev_month(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'TU' (commodity), rolling rule 'prev_month' and month end offset '-4,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.tw_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'TW' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.ty_comdty_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'TY' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.ty_comdty_front_short(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'TY' (commodity), rolling rule 'front', front offset '-3,-3' and strategy direction 'short'.

sigtech.framework.default_strategy_objects.rolling_futures.ty_comdty_prev_month(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'TY' (commodity), rolling rule 'prev_month' and month end offset '-4,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.ub_comdty_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'UB' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.us_comdty_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'US' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.us_comdty_prev_month(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'US' (commodity), rolling rule 'prev_month' and month end offset '-4,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.ux_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'UX' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.vg_index_front(use_cache: bool = True)

Define a rolling future strategy in EUR with contract code 'VG' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.w_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'W' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.w_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'W' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.w_comdty_seasonal(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'W' (commodity), rolling rule 'seasonal' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.wn_comdty_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'WN' (commodity), rolling rule 'front' and front offset '-3,-3'.

sigtech.framework.default_strategy_objects.rolling_futures.xbw_comdty_energy(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'XBW' (commodity), rolling rule 'energy' and monthly rolling days '1,5'.

sigtech.framework.default_strategy_objects.rolling_futures.xbw_comdty_f_0(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'XBW' (commodity), rolling rule 'F_0' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.xbw_comdty_long_carry(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'XBW' (commodity), rolling rule 'long_carry' and monthly rolling days '1,2'.

sigtech.framework.default_strategy_objects.rolling_futures.xm_comdty_front(use_cache: bool = True)

Define a rolling future strategy in AUD with contract code 'XM' (commodity), rolling rule 'front' and front offset '-4,-4'.

sigtech.framework.default_strategy_objects.rolling_futures.xp_index_front(use_cache: bool = True)

Define a rolling future strategy in AUD with contract code 'XP' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.xu_index_front(use_cache: bool = True)

Define a rolling future strategy in USD with contract code 'XU' (equity index), rolling rule 'front' and front offset '-3,-2'.

sigtech.framework.default_strategy_objects.rolling_futures.z_index_front(use_cache: bool = True)

Define a rolling future strategy in GBP with contract code 'Z' (equity index), rolling rule 'front' and front offset '-5,-2'.

Rolling FX hedged future strategies

Predefined rolling future strategies (FX hedged). See sigtech.framework.strategies.rolling_future_fx_hedged for more information about these objects.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.chf_cf_index_front(use_cache: bool = True)

Define a CHF-hedged rolling future strategy with contract code 'CF' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.chf_es_index_front(use_cache: bool = True)

Define a CHF-hedged rolling future strategy with contract code 'ES' (equity index), rolling rule 'front', front offset '-6,-5', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.chf_gx_index_front(use_cache: bool = True)

Define a CHF-hedged rolling future strategy with contract code 'GX' (equity index), rolling rule 'front', front offset '-4,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.chf_nh_index_front(use_cache: bool = True)

Define a CHF-hedged rolling future strategy with contract code 'NH' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.chf_nk_index_front(use_cache: bool = True)

Define a CHF-hedged rolling future strategy with contract code 'NK' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.chf_pt_index_front(use_cache: bool = True)

Define a CHF-hedged rolling future strategy with contract code 'PT' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.chf_z_index_front(use_cache: bool = True)

Define a CHF-hedged rolling future strategy with contract code 'Z' (equity index), rolling rule 'front', front offset '-5,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.eur_es_index_front(use_cache: bool = True)

Define a EUR-hedged rolling future strategy with contract code 'ES' (equity index), rolling rule 'front', front offset '-6,-5', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.eur_nh_index_front(use_cache: bool = True)

Define a EUR-hedged rolling future strategy with contract code 'NH' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.eur_nk_index_front(use_cache: bool = True)

Define a EUR-hedged rolling future strategy with contract code 'NK' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.eur_pt_index_front(use_cache: bool = True)

Define a EUR-hedged rolling future strategy with contract code 'PT' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.eur_z_index_front(use_cache: bool = True)

Define a EUR-hedged rolling future strategy with contract code 'Z' (equity index), rolling rule 'front', front offset '-5,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.gbp_cf_index_front(use_cache: bool = True)

Define a GBP-hedged rolling future strategy with contract code 'CF' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.gbp_es_index_front(use_cache: bool = True)

Define a GBP-hedged rolling future strategy with contract code 'ES' (equity index), rolling rule 'front', front offset '-6,-5', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.gbp_gx_index_front(use_cache: bool = True)

Define a GBP-hedged rolling future strategy with contract code 'GX' (equity index), rolling rule 'front', front offset '-4,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.gbp_nh_index_front(use_cache: bool = True)

Define a GBP-hedged rolling future strategy with contract code 'NH' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.gbp_nk_index_front(use_cache: bool = True)

Define a GBP-hedged rolling future strategy with contract code 'NK' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.gbp_pt_index_front(use_cache: bool = True)

Define a GBP-hedged rolling future strategy with contract code 'PT' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.jpy_cf_index_front(use_cache: bool = True)

Define a JPY-hedged rolling future strategy with contract code 'CF' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.jpy_es_index_front(use_cache: bool = True)

Define a JPY-hedged rolling future strategy with contract code 'ES' (equity index), rolling rule 'front', front offset '-6,-5', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.jpy_gx_index_front(use_cache: bool = True)

Define a JPY-hedged rolling future strategy with contract code 'GX' (equity index), rolling rule 'front', front offset '-4,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.jpy_pt_index_front(use_cache: bool = True)

Define a JPY-hedged rolling future strategy with contract code 'PT' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.jpy_z_index_front(use_cache: bool = True)

Define a JPY-hedged rolling future strategy with contract code 'Z' (equity index), rolling rule 'front', front offset '-5,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_ai_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'AI' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_ba_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'BA' (commodity), rolling rule 'front', front offset '-12,-11', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_ca_comdty_f_0(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'CA' (commodity), rolling rule 'F_0', monthly rolling days '1,2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_ca_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'CA' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_cf_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'CF' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_cn_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'CA' (commodity), rolling rule 'front', front offset '-3,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_eo_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'EO' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_er_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'ER' (commodity), rolling rule 'front', front offset '-6,-6', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_g_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'G' (commodity), rolling rule 'front', front offset '-3,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_gx_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'GX' (equity index), rolling rule 'front', front offset '-4,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_hc_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'HC' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_hi_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'HI' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_ij_comdty_f_0(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'IJ' (commodity), rolling rule 'F_0', monthly rolling days '1,2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_ir_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'IR' (commodity), rolling rule 'front', front offset '-6,-6', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_jb_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'JB' (commodity), rolling rule 'front', front offset '-4,-4', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_km_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'KM' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_l_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'L' (commodity), rolling rule 'front', front offset '-6,-6', exposure rebalance threshold 0.02, cash rebalance threshold 0.02 and leverage 0.25.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_nh_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'NH' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_nk_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'NK' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_nk_index_front_short(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'NK' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02, cash rebalance threshold 0.02 and strategy direction 'short'.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_oi_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'OI' (equity index), rolling rule 'front', front offset '-2,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_pt_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'PT' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_qc_comdty_f_0(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'QC' (commodity), rolling rule 'F_0', monthly rolling days '1,2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_qc_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'QC' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_rs_comdty_f_0(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'RS' (commodity), rolling rule 'F_0', monthly rolling days '1,2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_rx_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'RX' (commodity), rolling rule 'front', front offset '-3,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_st_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'ST' (equity index), rolling rule 'front', front offset '-4,-3', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_tp_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'TP' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_vg_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'VG' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_vg_index_front_short(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'VG' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02, cash rebalance threshold 0.02 and strategy direction 'short'.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_xm_comdty_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'XM' (commodity), rolling rule 'front', front offset '-4,-4', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_xp_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'XP' (equity index), rolling rule 'front', front offset '-3,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

sigtech.framework.default_strategy_objects.rolling_futures_fx_hedged.usd_z_index_front(use_cache: bool = True)

Define a USD-hedged rolling future strategy with contract code 'Z' (equity index), rolling rule 'front', front offset '-5,-2', exposure rebalance threshold 0.02 and cash rebalance threshold 0.02.

Rolling futures price index

sigtech.framework.default_strategy_objects.rolling_futures_price_index.ed_comdty_front_pi(use_cache: bool = True)

Define a rolling future index tracking the performance of an equity index future with contract code 'ED', rolling rule 'front' and front offset '-6:-5'.