StopStrategy

StopStrategy#

class sigtech.framework.strategies.stop_strategy.StopStrategy

Baseclasses: DailyStrategy

Subclasses: StopLossStrategy, TakeProfitStrategy

StopStrategy - wrapper for constituent instrument/strategy with a triggered close-out.

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.

  • 'FIXED_PCT_PROFIT' - Trigger close if percentage profit exceeds level from trade date.

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

  • 'TRAILING_PCT_PROFIT' - Trigger close if percentage profit exceeds level from low.

  • 'TRAILING_ABS_PROFIT' - Trigger close if absolute profit on one unit exceeds level from low.

  • 'FIXED_PCT_RANGE' - Trigger close if percentage profit or loss exceeds level from trade date.

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

  • 'TRAILING_PCT_RANGE' - Trigger close if percentage profit or loss exceeds level from low.

  • 'TRAILING_ABS_RANGE' - Trigger close if absolute profit or loss on one unit exceeds level from low.

  • 'CUSTOM_RANGE' - Trigger close using custom range params.

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

For RANGE trigger types, the following parameters are available through trigger_params:

  • stop_loss (float, optional): Specifies the stop-loss trigger level. If not provided, the default is the trigger_level.

  • take_profit (float, optional): Specifies the take-profit trigger level. If not provided, the default is the trigger_level.

  • abs (bool, optional): If set to True, the trigger uses absolute loss on one unit instead of percentage loss. Default is False. Only use for 'CUSTOM_RANGE' or 'METHOD' .

  • abs_profit (bool, optional): Can be used to apply absolute only to take profit.

    Default is abs. Only use for 'CUSTOM_RANGE' or 'METHOD' .

  • abs_loss (bool, optional): Can be used to apply absolute only to stop loss.

    Default is abs. Only use for 'CUSTOM_RANGE' or 'METHOD' .

  • trailing (bool, optional): If set to True, the trigger uses a trailing mechanism instead of a fixed one. Default is False. Only use for 'CUSTOM_RANGE' or 'METHOD'.

  • trailing_profit (bool, optional): Can be used to apply trailing only to take profit.

    Default is trailing. Only use for 'CUSTOM_RANGE' or 'METHOD'.

  • trailing_loss (bool, optional): Can be used to apply trailing only to stop loss.

    Default is trailing. Only use for 'CUSTOM_RANGE' or 'METHOD'.

Example object creation:

import datetime as dtm

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

sl = sig.StopStrategy(
    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.StopStrategy.get_for_trade(future, dtm.date(2019,9,1))
TRIGGER_METHOD = {'CUSTOM_RANGE': <function range_trigger>, 'FIXED_ABS_LOSS': <function fixed_abs_loss_trigger>, 'FIXED_ABS_PROFIT': <function fixed_abs_profit_trigger>, 'FIXED_ABS_RANGE': <function fixed_abs_range_trigger>, 'FIXED_PCT_LOSS': <function fixed_pct_loss_trigger>, 'FIXED_PCT_PROFIT': <function fixed_pct_profit_trigger>, 'FIXED_PCT_RANGE': <function fixed_pct_range_trigger>, 'TRAILING_ABS_LOSS': <function trailing_abs_loss_trigger>, 'TRAILING_ABS_PROFIT': <function trailing_abs_profit_trigger>, 'TRAILING_ABS_RANGE': <function trailing_abs_range_trigger>, 'TRAILING_PCT_LOSS': <function trailing_pct_loss_trigger>, 'TRAILING_PCT_PROFIT': <function trailing_pct_profit_trigger>, 'TRAILING_PCT_RANGE': <function trailing_pct_range_trigger>}
automatic_closeout: Optional[bool]
currency: Optional[str]
initial_cash: Optional[float]
initial_units: Optional[float]
instrument: Optional[Instrument]
instrument_name: Optional[str]
limit_period: Optional[Union[datetime, date, str]]
trade_date: date
trigger_level: Optional[float]
trigger_method: Optional[Union[Callable, str]]
trigger_params: Optional[dict]
trigger_type: Optional[Literal['FIXED_PCT_LOSS', 'FIXED_ABS_LOSS', 'TRAILING_PCT_LOSS', 'TRAILING_ABS_LOSS', 'FIXED_PCT_PROFIT', 'FIXED_ABS_PROFIT', 'TRAILING_PCT_PROFIT', 'TRAILING_ABS_PROFIT', 'FIXED_PCT_RANGE', 'FIXED_ABS_RANGE', 'TRAILING_PCT_RANGE', 'TRAILING_ABS_RANGE', 'CUSTOM_RANGE', 'METHOD']]
valuation_lag: Optional[str]
close_out(dt)

Close out of underlying position.

Parameters:

dt – Reference datetime.

classmethod get_for_trade(instrument: Instrument, trade_date: date, strategy: Optional[Strategy] = None, **kwargs)

Helper method to create a stop strategy.

Parameters:

  • instrument – Instrument/Strategy object to trade.

  • trade_date – Date to trade and register initial value.

  • strategy – Strategy to trade within - used to match total return and cost settings.

  • kwargs – Additional StopStrategy parameters.

Returns:

StopStrategy object.

history_end_date_eventual()

The last day strategy will have a value - apply underlying end date.

schedule_information()

Take schedule from underlying instrument.

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.