Big List of Continuous-Roll Futures Tickers available through yFinance for any managed futures backtest geeks out there
Below is my go-to list of continuous-roll futures tickers available through yFinance. There 202 total tickers, 105 of which have sufficient price histories to be useful in a backtest setting ('#' denotes the tickers with insufficient histories). Decent for mnaged futures backtesting, if you're into that sort of thing. Here goes: UNIVERSE\_TICKER\_LIBRARY = {
"Indices": {
"Broad Equities": \[
{"symbol": "ES=F", "name": "E-mini S&P 500"},
\# {"symbol": "EWF=F", "name": "E-mini S&P 500 Equal Weight"},
{"symbol": "ESG=F", "name": "E-mini S&P 500 ESG"},
{"symbol": "SDA=F", "name": "S&P 500 Annual Dividend"},
{"symbol": "SDI=F", "name": "S&P 500 Quarterly Dividend"},
{"symbol": "NQ=F", "name": "E-mini Nasdaq 100"},
{"symbol": "QCN=F", "name": "E-mini Nasdaq Composite"},
\# {"symbol": "NDA=F", "name": "Nasdaq Annual Dividend"},
{"symbol": "RTY=F", "name": "E-mini Russell 2000"},
{"symbol": "R2V=F", "name": "E-mini Russell 2000 Value"},
{"symbol": "R2G=F", "name": "E-mini Russell 2000 Growth"},
{"symbol": "YM=F", "name": "E-mini Dow Jones Industrial Average"},
\# {"symbol": "EMD=F", "name": "E-mini S&P MidCap 400"},
\# {"symbol": "SMC=F", "name": "E-mini S&P SmallCap 600"},
{"symbol": "RS1=F", "name": "E-mini Russell 1000"},
{"symbol": "RSG=F", "name": "E-mini Russell 1000 Growth"},
{"symbol": "RSV=F", "name": "E-mini Russell 1000 Value"},
{"symbol": "NKD=F", "name": "Nikkei 225 (USD-Denominated)"},
\# {"symbol": "TPY=F", "name": "TOPIX (JPY-Denominated)"},
\# {"symbol": "ECD=F", "name": "Nasdaq EM Asia"},
\# {"symbol": "EMF=F", "name": "E-mini S&P-CNX Nifty (Nifty 50)"},
\# {"symbol": "FXN=F", "name": "E-mini FTSE-XINHUA China 25"},
\# {"symbol": "IPC=F", "name": "E-mini S&P-BMV IPC (Mexico)"},
\# {"symbol": "MWS=F", "name": "MSCI World NTR"},
\# {"symbol": "MMW=F", "name": "MSCI ACWI NTR"},
\# {"symbol": "MME=F", "name": "MSCI Emerging Markets NTR"},
\# {"symbol": "MIN=F", "name": "MSCI India NTR"},
\# {"symbol": "EU9=F", "name": "MSCI Europe NTR"},
\# {"symbol": "ASI=F", "name": "MSCI All Country Asia ex-Japan NTR"},
\# {"symbol": "CHH=F", "name": "MSCI China NTR"},
\# {"symbol": "MML=F", "name": "MSCI Emerging Markets Latin America NTR"},
\# {"symbol": "USS=F", "name": "MSCI USA GTR"},
\# {"symbol": "MUK=F", "name": "MSCI USA Mid Cap GTR"},
{"symbol": "USC=F", "name": "MSCI USA Small Cap GTR"},
\],
"Sector/Industry Equities": \[
\# {"symbol": "SXT=F", "name": "E-mini S&P Biotechnology Select Industry"},
\# {"symbol": "SXB=F", "name": "E-mini S&P Regional Banks Select Industry"},
\# {"symbol": "SXI=F", "name": "E-mini S&P Insurance Select Industry"},
\# {"symbol": "SXO=F", "name": "E-mini S&P Oil & Gas Exploration Select Industry"},
\# {"symbol": "SXR=F", "name": "E-mini S&P Retail Select Industry"},
{"symbol": "XAY=F", "name": "E-mini Consumer Discretionary Select Sector"},
{"symbol": "XAI=F", "name": "E-mini Industrial Select Sector"},
\# {"symbol": "XAR=F", "name": "E-mini Real Estate Select Sector"},
{"symbol": "XAV=F", "name": "E-mini Health Care Select Sector"},
{"symbol": "XAK=F", "name": "E-mini Technology Select Sector"},
{"symbol": "XAP=F", "name": "E-mini Consumer Staples Select Sector"},
{"symbol": "XAF=F", "name": "E-mini Financial Select Sector"},
{"symbol": "XAB=F", "name": "E-mini Materials Select Sector"},
{"symbol": "XAE=F", "name": "E-mini Energy Select Sector"},
{"symbol": "XAZ=F", "name": "E-mini Communication Services Select Sector"},
{"symbol": "XAU=F", "name": "E-mini Utilities Select Sector"},
\# {"symbol": "SOX=F", "name": "E-mini PHLX Semiconductor Sector"},
{"symbol": "BIO=F", "name": "E-mini Nasdaq Biotechnology"},
\# {"symbol": "RX=F", "name": "Dow Jones U.S Real Estate"},
\],
"Commodities": \[
{"symbol": "GD=F", "name": "S&P-GSCI Commodity"},
{"symbol": "GIE=F", "name": "S&P-GSCI ER (Excess Return)"},
\# {"symbol": "AW=F", "name": "Bloomberg Commodity"},
{"symbol": "DRS=F", "name": "Bloomberg Roll Select Commodity"},
\],
"Currencies": \[
\# {"symbol": "DX=F", "name": "U.S. Dollar"},
\],
},
"Agriculture": {
"Grains": \[
{"symbol": "ZC=F", "name": "Corn"},
{"symbol": "ZW=F", "name": "Chicago SRW Wheat"},
{"symbol": "KE=F", "name": "KC HRW Wheat"},
\# {"symbol": "KWD=F", "name": "KC Wheat"},
\# {"symbol": "CWD=F", "name": "Chicago Wheat"},
\# {"symbol": "HRS=F", "name": "Hard Red Spring Wheat"},
{"symbol": "ZO=F", "name": "Oat"},
{"symbol": "ZS=F", "name": "Soybeans"},
{"symbol": "ZM=F", "name": "Soybean Meal"},
{"symbol": "ZL=F", "name": "Soybean Oil"},
{"symbol": "ZR=F", "name": "Rough Rice"},
\],
"Softs": \[
{"symbol": "SB=F", "name": "Sugar #11"},
{"symbol": "SF=F", "name": "Sugar #16"},
{"symbol": "KC=F", "name": "Coffee C"},
{"symbol": "CT=F", "name": "Cotton #2"},
{"symbol": "CC=F", "name": "Cocoa"},
{"symbol": "DC=F", "name": "Class III Milk"},
{"symbol": "GNF=F", "name": "Nonfat Dry Milk"},
{"symbol": "GDK=F", "name": "Class IV Milk"},
{"symbol": "OJ=F", "name": "Orange Juice"},
{"symbol": "CB=F", "name": "Cash-Settled Butter"},
{"symbol": "CSC=F", "name": "Cash-Settled Cheese"},
{"symbol": "DY=F", "name": "Dry Whey"},
\],
"Livestock": \[
{"symbol": "LE=F", "name": "Live Cattle"},
{"symbol": "GF=F", "name": "Feeder Cattle"},
{"symbol": "HE=F", "name": "Lean Hogs"},
\],
},
"Energy": {
"Petroleum and Petroleum Products": \[
{"symbol": "CL=F", "name": "Light Sweet Crude Oil (WTI)"},
{"symbol": "BZ=F", "name": "Brent Crude Oil"},
{"symbol": "HO=F", "name": "Heating Oil"},
{"symbol": "RB=F", "name": "RBOB Gasoline"}
\],
"Gasses": \[
{"symbol": "NG=F", "name": "Henry Hub Natural Gas"},
\# {"symbol": "HP=F", "name": "Henry Hub Natural Gas Look-Alike"},
\# {"symbol": "HH=F", "name": "Henry Hub Natural Gas Look-Alike"},
\# {"symbol": "B0=F", "name": "Mont Belvieu TET Propane"},
\],
"Other Energy": \[
{"symbol": "MTF=F", "name": "Coal (API2) CIF ARA (ARGUS-McCloskey)"},
\# {"symbol": "CU=F", "name": "Chicago Ethanol (Platts)"},
\],
},
"Metals/Materials/Resources/Real Estate": {
"Precious Metals": \[
{"symbol": "GC=F", "name": "Gold"},
{"symbol": "SI=F", "name": "Silver"},
{"symbol": "PL=F", "name": "Platinum"},
{"symbol": "PA=F", "name": "Palladium"},
\],
"Industrial Metals": \[
{"symbol": "HG=F", "name": "Copper"},
{"symbol": "ALI=F", "name": "Aluminum"},
{"symbol": "AUP=F", "name": "Aluminum Midwest U.S. Transaction Premium (Platts)"},
{"symbol": "EDP=F", "name": "Aluminum European Premium (Platts)"},
{"symbol": "MJP=F", "name": "Aluminum Japan Premium (Platts)"},
{"symbol": "HRC=F", "name": "U.S. Midwest Domestic Hot-Rolled Coil Steel"},
{"symbol": "HDG=F", "name": "U.S. Midwest Domestic Steel Premium"},
\# {"symbol": "EHR=F", "name": "North European Hot-Rolled Coil Steel"},
\# {"symbol": "FSF=F", "name": "HMS 80/20 Ferrous Scrap"},
{"symbol": "TIO=F", "name": "Iron Ore 62% Fe, CFR China (Platts)"},
\# {"symbol": "COB=F", "name": "Cobalt Metal"},
\# {"symbol": "LTH=F", "name": "Lithium Hydroxide"},
\# {"symbol": "MOX=F", "name": "Molybdenum Oxide"},
\# {"symbol": "UX=F", "name": "UxC Uranium U3O8"},
\],
"Raw Materials/Natural Resources": \[
{"symbol": "LBS=F", "name": "Random Length Lumber"},
{"symbol": "LBR=F", "name": "Lumber"},
\# {"symbol": "SYP=F", "name": "Southern Yellow Pine"},
{"symbol": "H2O=F", "name": "Nasdaq Veles California Water"},
\# {"symbol": "MFV=F", "name": "10-Ton Urea US Gulf"},
{"symbol": "UFB=F", "name": "Urea (Granular) CFR Brazil"},
\],
"Real Estate": \[
\# {"symbol": "CUS=F", "name": "CME Metro Area Housing"},
\# {"symbol": "WDC=F", "name": "Washington DC Real Estate"},
\# {"symbol": "MIA=F", "name": "Miami Real Estate"},
\# {"symbol": "NYM=F", "name": "New York Real Estate"},
\# {"symbol": "SFR=F", "name": "San Francisco Real Estate"},
\# {"symbol": "LAX=F", "name": "Los Angeles Real Estate"},
\# {"symbol": "BOS=F", "name": "Boston Real Estate"},
\# {"symbol": "DEN=F", "name": "Denver Real Estate"},
\# {"symbol": "SDG=F", "name": "San Diego Real Estate"},
\],
},
"Rates": {
"Treasuries": \[
\# {"symbol": "TBF3=F", "name": "U.S. T-Bill"},
{"symbol": "ZT=F", "name": "2-Year U.S. Treasury Note"},
{"symbol": "Z3N=F", "name": "3-Year U.S. Treasury Note"},
{"symbol": "ZF=F", "name": "5-Year U.S. Treasury Note"},
{"symbol": "ZN=F", "name": "10-Year U.S. Treasury Note"},
{"symbol": "ZB=F", "name": "30-Year U.S. Treasury Bond"},
{"symbol": "TN=F", "name": "Ultra 10-Year U.S. Treasury Note"},
{"symbol": "UB=F", "name": "Ultra U.S. Treasury Bond"},
\],
"Credit": \[
\# {"symbol": "IQB=F", "name": "Bloomberg IG Credit"},
\# {"symbol": "HYB=F", "name": "Bloomberg HY Credit"},
\# {"symbol": "DHB=F", "name": "Bloomberg IG Duration-Hedged Credit"},
\# {"symbol": "DHY=F", "name": "Bloomberg HY Duration-Hedged Credit"},
\# {"symbol": "DLB=F", "name": "Bloomberg EM Credit"},
\],
"Yields": \[
{"symbol": "2YY=F", "name": "2-Year Yield"},
\# {"symbol": "5YY=F", "name": "5-Year Yield"},
\# {"symbol": "10Y=F", "name": "10-Year Yield"},
\# {"symbol": "30Y=F", "name": "30-Year Yield"},
\],
"Other Rates": \[
{"symbol": "ZQ=F", "name": "30-Day Federal Funds"},
\# {"symbol": "SR1=F", "name": "One-Month SOFR"},
\# {"symbol": "SR3=F", "name": "Three-Month SOFR"},
\# {"symbol": "MGE=F", "name": "Mortgage Rate (OB30C)"},
\# {"symbol": "YIA=F", "name": "1-Year Eris SOFR Swap"},
\# {"symbol": "YIT=F", "name": "2-Year Eris SOFR Swap"},
\# {"symbol": "YIC=F", "name": "3-Year Eris SOFR Swap"},
\# {"symbol": "YID=F", "name": "4-Year Eris SOFR Swap"},
\# {"symbol": "YIW=F", "name": "5-Year Eris SOFR Swap"},
\# {"symbol": "YIB=F", "name": "7-Year Eris SOFR Swap"},
\# {"symbol": "YIY=F", "name": "10-Year Eris SOFR Swap"},
\# {"symbol": "YIL=F", "name": "15-Year Eris SOFR Swap"},
\# {"symbol": "YIE=F", "name": "30-Year Eris SOFR Swap"},
\# {"symbol": "ESR=F", "name": "Euro Short-Term Rate (ESTR)"},
\# {"symbol": "EUS=F", "name": "Euro Short-Term Rate (ESTR) - Traded"},
\# {"symbol": "TIE=F", "name": "Mexican Funding TIIE"},
\# {"symbol": "65U=F", "name": "30-Year UMBS TBA (6.5% Coupon)"},
\# {"symbol": "55U=F", "name": "30-Year UMBS TBA (5.5% Coupon)"},
\# {"symbol": "50U=F", "name": "30-Year UMBS TBA (5.0% Coupon)"},
\# {"symbol": "45U=F", "name": "30-Year UMBS TBA (4.5% Coupon)"},
\# {"symbol": "40U=F", "name": "30-Year UMBS TBA (4.0% Coupon)"},
\# {"symbol": "30U=F", "name": "30-Year UMBS TBA (3.0% Coupon)"},
\],
},
"Currencies": {
"USD Cross-Currencies (Hard)": \[
{"symbol": "6A=F", "name": "Australian Dollar (A$)"},
{"symbol": "6B=F", "name": "British Pound Sterling (£)"},
{"symbol": "6C=F", "name": "Canadian Dollar (C$)"},
{"symbol": "6E=F", "name": "Euro (€)"},
{"symbol": "6S=F", "name": "Swiss Franc (CHF)"},
{"symbol": "6J=F", "name": "Japanese Yen (¥)"},
{"symbol": "6N=F", "name": "New Zealand Dollar (NZ$)"},
\],
"USD Cross-Currencies (Soft)": \[
{"symbol": "6M=F", "name": "Mexican Peso (MX$)"},
\# {"symbol": "SEK=F", "name": "Swedish Krona (SEK)"},
{"symbol": "KRW=F", "name": "Korean Won (KRW)"},
{"symbol": "6L=F", "name": "Brazilian Real (R$)"},
{"symbol": "6Z=F", "name": "South African Rand (ZAR)"},
{"symbol": "SIR=F", "name": "Indian Rupee (₹)"},
{"symbol": "PLN=F", "name": "Polish Zloty (PLN)"},
\# {"symbol": "ILS=F", "name": "Israeli Shekel (ILS)"},
\# {"symbol": "NOK=F", "name": "Norwegian Krone (NOK)"},
{"symbol": "CZK=F", "name": "Czech Koruna (CZK)"},
{"symbol": "HUF=F", "name": "Hungarian Forint (HUF)"},
{"symbol": "CNH=F", "name": "Chinese Renminbi (CNY)"},
{"symbol": "6R=F", "name": "Russian Ruble (RUB)"},
\],
"Non-USD Cross-Currencies": \[
\# {"symbol": "CJY=F", "name": "Canadian Dollar/Japanese Yen"},
\# {"symbol": "AJY=F", "name": "Australian Dollar/Japanese Yen"},
\# {"symbol": "ANE=F", "name": "Australian Dollar/New Zealand Dollar"},
\# {"symbol": "PJY=F", "name": "British Pound/Japanese Yen"},
\# {"symbol": "PSF=F", "name": "British Pound/Swiss Franc"},
\# {"symbol": "ENK=F", "name": "Euro/Norweigian Krone"},
\# {"symbol": "EAD=F", "name": "Euro/Australian Dollar"},
\# {"symbol": "ESK=F", "name": "Euro/Swedish Krona"},
{"symbol": "RF=F", "name": "Euro/Swiss Franc"},
{"symbol": "RP=F", "name": "Euro/British Pound"},
{"symbol": "RY=F", "name": "Euro/Japanese Yen"},
\# {"symbol": "SJY=F", "name": "Swiss Franc/Japanese Yen"},
\],
"Crypto": \[
{"symbol": "BTC=F", "name": "Bitcoin"},
{"symbol": "ETH=F", "name": "Ether"},
\# {"symbol": "XRP=F", "name": "XRP"},
\# {"symbol": "SOL=F", "name": "Solana"},
\],
},
}