8.2.1
High-Minus-Low Carry
PYTHON PLUGIN
Fx
Carry
Description
Strategy 8.2.1: Cross-sectional HML carry trade
Strategy Logic
Strategy 8.2.1: Cross-sectional carry (HML).
Compute forward discount D = ln(S) - ln(F) ~ rf - rd for each currency.
Buy forwards on currencies in the top quantile by D (high carry),
sell those in the bottom quantile (low carry). Dollar-neutral.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| long_quantile | 0.8 | float |
| short_quantile | 0.2 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 15.0% |