DynamicRollingFutureStrategy#
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class sigtech.framework.strategies.dynamic_rolling_future.DynamicRollingFutureStrategy
Baseclasses:
RollingFutureStrategySubclasses:
DynamicRollingFutureClass implementing a dynamic rolling future strategy.
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function: Optional[Callable]
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function_name: Optional[str]
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kwargs: Optional[dict]
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rolling_rule: Optional[str]
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rule_list: list[str]
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build_rolling_table()
Build the rolling future table.
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roll_rules_to_contracts(first_roll_dates, s)
Return the contracts given first rolling dates and function selector.
- Parameters:
first_roll_dates – List of first rolling dates.
s – Function selector.
- Returns:
pandas Series.
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roll_table_end_date()
Return the rolling future table including only contracts with first execution date not greater than the adjusted end date for the strategy.