RollingFutureFXHedgedStrategy

class sigtech.framework.strategies.rolling_future_fx_hedged.RollingFutureFXHedgedStrategy

Baseclasses: RollingFutureStrategy

Subclasses: RollingLMEFutureFXHedgedStrategy, RollingFutureFXHedged

An FX-aware version of RollingFutureStrategy, maintaining proper foreign cash end exposure positions through maintaining thresholds and rebalancing accordingly.

In addition to the settings used for class RollingFutureStrategy, exposure_rebalance_threshold and cash_rebalance_threshold are used to control the FX hedging agenda.

• cash_rebalance_threshold: once the FX cash exposure breaches the threshold, the strategy will convert the FX cash to the base currency.

• exposure_rebalance_threshold: once the underlying future’s FX exposure breaches the threshold, the strategy will buy/sell certain amount of underlying future to control the exposure.

Example object creation:

import datetime as dtm

s = sig.RollingFutureFXHedgedStrategy(
    currency='USD',
    start_date=dtm.date(2018, 1, 4),
    contract_code='VG',
    contract_sector='INDEX',
    rolling_rule='front',
    front_offset='-3,-2',
    cash_rebalance_threshold=0.02,
    exposure_rebalance_threshold=0.02
)

add_fx_exposure_via_forwards: Optional[bool]

cash_rebalance_threshold: Optional[float]

CASH_SWEEP_PRIORITY = 41

currency: str

exposure_rebalance_threshold: Optional[float]

forward_tenor: Optional[str]

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.