Multi Straddle Strategy

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Introduction

The purpose of this notebook is to show how to create a systematic strategy involving multiple straddle strategies. ## 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 seaborn as sns

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

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

Strategy

class ExampleDynamicMultiOptionsStrategy(sig.DynamicMultiOptionsStrategy):
    def roll_options(self, dt):
        size_date = self.size_date_from_decision_dt(dt)

        eurusd = sig.FXOTCOptionsGroup.get_group('EURUSD')
        eurusd_maturity_date = eurusd.convert_maturity_tenor_to_date(size_date, '3M')
        eurusd_atm = eurusd.atm_from_type('Put', size_date, eurusd_maturity_date, 'DN')
        eurusd_call = eurusd.get_option('Put', eurusd_atm, size_date, eurusd_maturity_date)

        gbpusd = sig.FXOTCOptionsGroup.get_group('GBPUSD')
        gbpusd_maturity_date = gbpusd.convert_maturity_tenor_to_date(size_date, '3M')
        gbpusd_atm = gbpusd.atm_from_type('Put', size_date, gbpusd_maturity_date, 'DN')
        gbpusd_call = gbpusd.get_option('Put', gbpusd_atm, size_date, gbpusd_maturity_date)

        self.set_option_positions(dt, ((eurusd_call, 1e3), (gbpusd_call, 1e3)))

rs = ExampleDynamicMultiOptionsStrategy(
    currency='USD',
    start_date=dtm.date(2013, 1, 3),
    end_date=dtm.date(2013, 7, 15),
    group_names=[
        sig.FXOTCOptionsGroup.get_group('EURUSD').name,
        sig.FXOTCOptionsGroup.get_group('GBPUSD').name],
    target_type='Fixed',
    roll_dates=[
        dtm.date(2013, 2, 20),
        dtm.date(2013, 3, 20),
        dtm.date(2013, 4, 16),
        dtm.date(2013, 5, 21),
        dtm.date(2013, 6, 18)
    ],
)

Performance Analytics

sig.PerformanceReport(rs.history(), cash=sig.CashIndex.from_currency('USD')).report()