RollingLMEFutureFXHedgedStrategy

class sigtech.framework.strategies.rolling_future_fx_hedged.RollingLMEFutureFXHedgedStrategy

Baseclasses: RollingFutureFXHedgedStrategy, RollingLMEFutureStrategy

Subclasses: RollingLMEFutureFXHedged

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

In addition to the settings used for class RollingLMEFutureStrategy, 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.RollingLMEFutureFXHedgedStrategy(
    currency='GBP',
    start_date=dtm.date(2018, 1, 4),
    contract_code='LA',
    contract_sector='COMDTY',
    rolling_rule='F_0',
)

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.