Oil Future Spread Matched Roll Dates

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Introduction

The purpose of thise notebook is to show how to create a spread between two futures instrument traded on different exchanges but with similar underlying asset.

Environment

This section will import relevant internal and external libraries, as well as setting up the platform environment.

import sigtech.framework as sig
from sigtech.framework.analytics.performance.performance_report import View

import datetime as dtm
import seaborn as sns

sns.set(rc = {'figure.figsize': (18, 6)})
env = sig.init(env_date=dtm.date(2024, 2, 22))
# First we set the calendars for both exchanges
env[sig.config.TM_CALENDAR] = 'NYM (T) CALENDAR,ICE_EU_IPE(T) CALENDAR'

Universe

cl = sig.obj.get('CLU21 COMDTY')

co =  sig.obj.get('COU21 COMDTY')

cl.group_name, cl.exchange_code, cl.expiry_date, cl.contract_size, cl.currency # cl.asset_description,

co.group_name, co.exchange_code, co.expiry_date, co.contract_size, co.currency # co.asset_description,

Strategy

Custom Tables

The custom table reflects what contract is being held at each calendar month. [0] refers to current year and [1] to the following year.

#                Jan.    Feb.    Mar.     Apr.    May.    Jun.    Jul.    Aug.    Sep.    Oct.    Nov.   Dec.
custom_table =  ['M[0]', 'M[0]', 'M[0]', 'U[0]', 'U[0]', 'U[0]', 'Z[0]', 'Z[1]', 'Z[1]', 'H[1]', 'H[1]','H[1]']

start_date = dtm.date(2017, 6, 4)

Matching Roll Dates

There are two options when setting RollingFuturesStrategy roll dates. In order to roll at the same time monthly_roll_days will allow the strategy to roll on an speficif day of the month instead of days before expiry.

def cmdty_future(contract, custom_table, start_date, roll_bday):
    """
        Returns a RollingFutureStrategy with a custom table and
        roll dates set by ``monthly_roll_days``: the n-th
        business day of the calendar month.
    """
    return sig.RollingFutureStrategy(
        currency = 'USD',
        start_date = start_date,
        contract_code = contract,
        contract_sector = 'COMDTY',
        rolling_rule = 'custom',
        front_offset = None,
        monthly_roll_days = roll_bday,  # Nth businessdays
        include_trading_costs = False,  #don't include trading costs
        total_return = False,  # don't include cash accrual,
        custom_roll_table = custom_table
    )

oil = cmdty_future('CL',custom_table,start_date, '15,15')
brent =  cmdty_future('CO',custom_table,start_date, '15,15')

oil.history().plot()
brent.history().plot();

Ensuring both roll calendars match

oil.rolling_table.tail()

brent.rolling_table.tail()

oil.plot.portfolio_table('TOP_ORDER_PTS',start_dt=oil.start_date, end_dt=oil.start_date+dtm.timedelta(days=5), unit_type='TRADE')

brent.plot.portfolio_table('TOP_ORDER_PTS',start_dt=brent.start_date, end_dt=brent.start_date+dtm.timedelta(days=5), unit_type='TRADE')

Portfolio Construction

basket = sig.BasketStrategy(
             currency = 'USD',
             start_date = start_date+dtm.timedelta(days=5),
             constituent_names = [oil.name, brent.name],
             weights = [-1, 1],
             rebalance_frequency = '1W',
             include_trading_costs=False,
             total_return=False,
             ticker = 'Long/Short Strategy'
        )

Performance Analytics

VIEWS = [View.SUMMARY_SINGLE, View.MONTHLY_STATS_HEATMAP, View.ROLLING_PLOTS]
report = sig.PerformanceReport([oil,brent,basket], views=VIEWS).report()