8.4
Momentum & Carry Combo
PYTHON PLUGIN
Fx
Combo
Description
Strategy 8.4: Min-variance combination of FX momentum and carry
Strategy Logic
Strategy 8.4: Combine momentum and carry strategies.
Uses minimum-variance weighting. Given strategy returns R_mom, R_carry
with variances s1^2, s2^2 and correlation rho:
w1 = (s2^2 - s1*s2*rho) / (s1^2 + s2^2 - 2*s1*s2*rho)
w2 = 1 - w1
Combined signal = w1 * mom_signal + w2 * carry_signal.
Expects DataFrame columns: 'close', and either ('rf', 'rd') or 'forward'
for the carry component. Momentum is computed from returns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_lookback | 63 | int |
| variance_lookback | 126 | int |
| carry_threshold | 0.0005 | 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% |