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Default strategies

Default strategies#

Predefined strategies composed of several underlying sub-strategies on non-overlapping time periods. See sigtech.framework.strategies.strategy_piecewise for more information about these objects.

sigtech.framework.default_strategy_objects.strategy_piecewise.strategy_piecewise_usd_nk_index_to_nh_index(use_cache: bool = True)

Define a strategy with start date 2010-01-04 and composed by:

  • 2010-01-05: usd_nk_index_front (USD-hedged rolling future strategy - equity index),

  • 2015-01-05: usd_nh_index_front (USD-hedged rolling future strategy - equity index).

sigtech.framework.default_strategy_objects.strategy_piecewise.strategy_piecewise_usd_nk_index_to_nh_index_short(use_cache: bool = True)

Define a short strategy with start date 2010-01-04 and composed by:

  • 2010-01-05: usd_nk_index_front (USD-hedged rolling future strategy - equity index),

  • 2015-01-05: usd_nh_index_front (USD-hedged rolling future strategy - equity index).

Predefined baskets of strategies. See sigtech.framework.strategies.basket_strategies for more information about these objects.

sigtech.framework.default_strategy_objects.basket_strategies.usd_cl_co_equally_weighted_basket(use_cache: bool = True)

Define a BasketStrategy with two equally weighed rolling future strategies: 'CO' identifies ‘Brent Crude’ as underlying while 'CL' identifies ‘Crude Oil’.

sigtech.framework.default_strategy_objects.basket_strategies.usd_cl_co_equally_weighted_basket_short(use_cache: bool = True)

Define a short BasketStrategy with two equally weighed rolling future strategies: 'CO' identifies ‘Brent Crude’ as underlying while 'CL' identifies ‘Crude Oil’.

sigtech.framework.default_strategy_objects.basket_strategies.usd_dxy_cash_basket(use_cache: bool = True)

Define a CashBasketStrategy with several cash instruments: 'EUR', 'JPY', 'GBP', 'CAD', 'SEK' and 'CHF'.

The U.S. Dollar Index with components and weights taken from https://en.wikipedia.org/wiki/U.S._Dollar_Index.

Rebalanced daily, unlike the real DXY basket which is simply a geometrically weighted mean.