8.3
Dollar Carry Trade
PYTHON PLUGIN
Fx
Carry
Description
Strategy 8.3: Dollar carry trade based on average forward discount
Strategy Logic
Strategy 8.3: Dollar carry trade.
Compute average cross-sectional forward discount:
D_bar = (1/N) * sum(D_i)
Go long all N foreign currency forwards when D_bar > 0 (positive average
carry), short all when D_bar < 0, with equal weights.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| min_currencies | 3 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 6.0% |
| Max Drawdown Pct | 12.0% |