8.2
Carry Trade
PYTHON PLUGIN
Fx
Carry
Description
Strategy 8.2: FX carry trade on forward premium / discount
Strategy Logic
Strategy 8.2: FX Carry Trade based on forward premium/discount.
Forward rate F = S * (1 + rd) / (1 + rf). When rf > rd the foreign
currency trades at a forward discount and carry is positive -- buy.
When rf < rd the carry is negative -- sell.
Expects DataFrames with columns 'close' (spot), 'rf' (foreign rate),
'rd' (domestic rate). Falls back to forward/spot comparison when
'forward' column is available.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| carry_threshold | 0.001 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 15.0% |