Tomorrow/Next and Overnight FX Forward Rolling Strategy

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Introduction

The purpose of this notebook is to show how to create an tomorrow/next and overnight FX forward strategy. ## 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
from sigtech.framework.infra.analytics.fx.fx_market import FXMarket

import datetime as dtm
import seaborn as sns
import pytz

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

# we have to configure the timezone and calendar to run ON, TN, SN rolling strategies
tz = pytz.timezone('Europe/London')
env = sig.init(env_date=tz.localize(dtm.datetime(2021, 7, 27, 11, 10)))
env[sig.config.TM_CALENDAR] = 'TARGET CALENDAR,WMCO CALENDAR'

Strategy

# to look for the calendars use the below method
# note: if a new calendar is needed the kernel needs to be restarted
FXMarket.instance().schedule_stub('EUR', 'USD').holidays

rolling_tn = sig.RollingFXForwardStrategy(
            currency='USD',
            direction='long',
            forward_tenor='TN',
            long_currency='EUR',
            start_date=dtm.date(2019,1,4),
            total_return=False,
            include_trading_costs=False,
            ticker = 'TN_strategy'
        )

rolling_on = sig.RollingFXForwardStrategy(
            currency='USD',
            direction='long',
            forward_tenor='ON',
            long_currency='EUR',
            start_date=dtm.date(2019,1,4),
            total_return=False,
            include_trading_costs=False,
            ticker='ON_strategy'
        )

rolling_tn.history().plot(label='TN',legend=True);
rolling_on.history().plot(label='ON',legend=True);

Performance Analytics

VIEWS = [View.SUMMARY_SINGLE,View.MONTHLY_STATS_HEATMAP]
report = sig.PerformanceReport([rolling_tn,rolling_on],views=VIEWS).report()