Chapter 8: FX

8.1 PLUGIN

FX Moving Average HP Filter

Strategy 8.1: HP-filtered MA crossover on FX spot rates

fx trend

8.2 PLUGIN

Carry Trade

Strategy 8.2: FX carry trade on forward premium / discount

fx carry

8.2.1 PLUGIN

High-Minus-Low Carry

Strategy 8.2.1: Cross-sectional HML carry trade

fx carry

8.3 PLUGIN

Dollar Carry Trade

Strategy 8.3: Dollar carry trade based on average forward discount

fx carry

8.4 PLUGIN

Momentum & Carry Combo

Strategy 8.4: Min-variance combination of FX momentum and carry

fx combo

8.5 PLUGIN

FX Triangular Arbitrage

Strategy 8.5: FX triangular arbitrage detection

fx arbitrage