StopLossStrategy

class sigtech.framework.strategies.stop_strategy.StopLossStrategy

Baseclasses: StopStrategy

StopLossStrategy - wrapper for constituent instrument/strategy with a triggered stop loss.

Keyword arguments:

1. instrument_name: Name of instrument/strategy to trade.

2. trigger_type: Type of trigger to use, string options are listed below.

3. valuation_lag: Time window between decision time and valuation, defaults to 1BD.

4. trigger_level: Level used by the trigger.

5. trigger_method: Optional method to use as close out trigger, takes (dt, valuation, strategy, ).

6. trigger_params: Optional parameters to use in trigger method.

7. trade_date: Date to set initial value and determine start date.

8. limit_period: Time window to trigger close out once exceeded, defaults to None.

9. initial_units: Units of underlier to trade, defaults to 1.

10. initial_cash: Cash to include, defaults to 0.

11. automatic_closeout: Activate automatic closeout of the stop strategy if held by a strategy, defaults to True.

The trigger types available are:

• 'FIXED_PCT_LOSS' - Trigger close if percentage loss exceeds level from trade date.

• 'FIXED_ABS_LOSS' - Trigger close if absolute on one unit loss exceeds level from trade date.

• 'TRAILING_PCT_LOSS' - Trigger close if percentage loss exceeds level from high.

• 'TRAILING_ABS_LOSS' - Trigger close if absolute loss on one unit exceeds level from high.

• 'METHOD' - Trigger close using custom trigger method.

Example object creation:

import datetime as dtm

future = env.object.get('ESZ19 INDEX')

sl = sig.StopLossStrategy(
    currency='USD',
    trade_date=dtm.date(2019,9,1),
    instrument_name=future.name,
    trigger_type='FIXED_PCT_LOSS',
    trigger_level=0.01,
)

Alternatively, a strategy wrapper can be generated to trade a specified object using the helper method:

sl = sig.StopLossStrategy.get_for_trade(future, dtm.date(2019,9,1))

TRIGGER_METHOD = {'FIXED_ABS_LOSS': <function fixed_abs_loss_trigger>, 'FIXED_PCT_LOSS': <function fixed_pct_loss_trigger>, 'TRAILING_ABS_LOSS': <function trailing_abs_loss_trigger>, 'TRAILING_PCT_LOSS': <function trailing_pct_loss_trigger>}

trigger_type: Optional[Literal['FIXED_PCT_LOSS', 'FIXED_ABS_LOSS', 'TRAILING_PCT_LOSS', 'TRAILING_ABS_LOSS', 'METHOD']]