Custom Roll Table for Rolling Future Strategies#

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Introduction#

The purpose of this notebook is to show how to create to create a RollingFutureStrategy with a custom roll table. ## Environment This section will import relevant internal and external libraries, as well as setting up the platform environment.

[ ]:

import sigtech.framework as sig

import datetime as dtm
import pandas as pd
import seaborn as sns

from typing import Optional

sns.set(rc={'figure.figsize': (18, 6)})

env = sig.init(env_date=dtm.date(2024, 2, 22))

Universe#

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rfs = sig.RollingFutureStrategy(
    currency="USD",
    contract_code="SP",
    contract_sector="INDEX",
    rolling_rule="front",
    front_offset="-7,-4",
    start_date=dtm.date(2010, 1, 4)
)

rfs.build()

rfs.rolling_table.head(10)

Explanation of columns:

  • Index: the date at which to execute the trade

  • rolled_in_contract: the contract to buy

  • rolled_out_contract: the contract to sell

  • rolled_in_weight: the desired weight of the rolled_in_contract after the row has been processed

  • rolled_out_weight: the desired weight of the rolled_out_contract after the row has been processed

  • first_execution_date: the date of the first row in the particular roll

Strategy#

The RollingFutureStrategy class has a build_rolling_table() method that can be overridden to return a custom rolling table:

[ ]:

class CustomRollingTableRFS(sig.RollingFutureStrategy):

    custom_roll_table: pd.DataFrame

    def build_rolling_table(self):
        return self.custom_roll_table

Thus we can pass in a custom table and use that:

[ ]:

my_roll_table = pd.DataFrame.from_dict({
    dtm.date(2000, 1, 5): ["SPM00 INDEX", None, 1.0, 0.0, dtm.date(2000, 1, 5)],
    dtm.date(2000, 3, 8): ["SPZ00 INDEX", "SPM00 INDEX", 0.356, 1-0.356, dtm.date(2000, 3, 8)],
    dtm.date(2000, 3, 13): ["SPZ00 INDEX", "SPM00 INDEX", 1.0, 0.0, dtm.date(2000, 3, 8)],
},
    orient="index",
    columns=["rolled_in_contract", "rolled_out_contract", "rolled_in_weight", "rolled_out_weight", "first_execution_date"]
)

rfs_custom = CustomRollingTableRFS(
    end_date=dtm.date(2000, 10, 1),
    custom_roll_table=my_roll_table,
    currency="USD",

    # These are still needed but will not affect the strategy
    contract_code="SP",
    contract_sector="INDEX",
    rolling_rule="front",
    front_offset="-7,-4",
    start_date=dtm.date(2000, 7, 3)
)

rfs_custom.build()

rfs_custom.rolling_table

Performance Analytics#

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sig.PerformanceReport(rfs_custom.history()).report()