Carry framework
Researches whether relative interest-rate conditions support a longer-horizon currency position.
Keep the chart simple
What needs to be in place first
- Expected rather than only current rate difference is documented
- Actual broker financing is known
- Volatility and event risks are capped
See carry framework from both sides
Choose a direction and follow the chart from setup to entry, stop and planned exit. The method stays the same; only the directional comparisons reverse.
Entry is above the trigger, invalidation is below the setup and a profit exit is above the entry.
- EEntryLONG ENTRY / MONDAY OPEN
- SStop / risk limitLONG STOP / 3 ATR
- XExitREBALANCE / EXIT
The Friday snapshot establishes the rate rank, positive long swap, sub-15% realised volatility and price side. Monday entry follows only after the gap check; a 3 ATR stop protects the position and the next Friday review supplies the planned rule-based exit.
This example is not a generic trend trade: the rate rank and actual positive long swap must both exist before the price filter is considered.Check the market first
Rank currencies by published policy rate; candidate longs buy one of the top two against one of the bottom two only when broker swap for that direction is positive.
Wait for the entry rule
At Monday 00:00 UTC, enter the eligible pair with the largest positive broker swap per unit after the Friday snapshot; skip if the open gaps more than 1.0 daily ATR(20).
Place the stop before entry
Initial stop is 3.0 × daily ATR(20) from fill; risk 0.35% equity per position and round down to 0.01 lot.
Know how the trade ends
At each Friday review, exit at the next Monday open if swap is no longer positive, either currency leaves its rate-rank group, spot closes across SMA(100), or 20-day volatility exceeds 20%.
Worked example: weekly G10 rate-differential basket
This version of Carry framework chooses one answer for every decision so you can repeat it. Treat the settings as a starting point to test, not as proven or recommended parameters.
AUD, CAD, CHF, EUR, GBP, JPY, NZD and USD spot currencies represented by liquid USD and non-USD pairs.
Weekly decisions at Friday 21:00 UTC using only rates, forward/swap observations and daily closes available then.
A research basket, not an instruction to borrow, use leverage or hold a particular currency.
Create an eight-currency table of current central-bank policy rates as published by each central bank before the weekly cutoff.
Record the actual broker long and short swap for every candidate pair and the three-month 20-day realised volatility from completed daily returns.
Add daily SMA(100) of close as the separate price-timing rule.
Give every tool one job
Direction, timing, volatility and risk are different questions. This stack assigns them rather than asking one indicator to do everything.
Defines the slow cross-currency carry hypothesis from timestamped official data.
Checks that the trade direction earns rather than pays the observed financing amount.
Supplies the independent spot-price eligibility and exit condition.
Limit regime and position risk; neither predicts direction.
- Rank currencies by published policy rate; candidate longs buy one of the top two against one of the bottom two only when broker swap for that direction is positive.
- Spot must close on the carry direction side of SMA(100), and 20-day annualised volatility must be below 15%.
- At most two positions, no currency may appear in both positions, and total planned weekly gap risk is capped at 1.00% equity.
At Monday 00:00 UTC, enter the eligible pair with the largest positive broker swap per unit after the Friday snapshot; skip if the open gaps more than 1.0 daily ATR(20).
Initial stop is 3.0 × daily ATR(20) from fill; risk 0.35% equity per position and round down to 0.01 lot.
At each Friday review, exit at the next Monday open if swap is no longer positive, either currency leaves its rate-rank group, spot closes across SMA(100), or 20-day volatility exceeds 20%.
Do not open when a central-bank decision for either currency is scheduled before Wednesday 00:00 UTC, actual swap is unavailable, a currency cap is breached, or the opening-gap rule fails.
Use the archived broker Bid/Ask, commission and swap when available. The fallback demo uses a 1.5-pip spread, 0.3-pip adverse slippage per fill and the Friday-snapshot swap charged exactly at each broker rollover.
Move through the chart one decision at a time
- Friday: archive rates
The timestamped table places currency A in the top two and currency B in the bottom two; no later rate revision may enter this snapshot.
- Friday: verify financing
The broker specification shows positive long A/B swap and records its rollover convention and amount.
- Friday: verify price and risk
A/B closes above SMA(100), 20-day annualised volatility is 11% and daily ATR(20) defines the 3 ATR stop.
- Weekend: screen events
No decision for A or B is scheduled before Wednesday and neither currency is already used by another basket position.
- Monday: enter
The open gap is below one ATR. Enter after costs, size 0.35% risk and archive the initial swap rather than assuming it remains constant.
- Each Friday: review
Re-rank using only then-known data. Exit on Monday if any defined rate, swap, SMA or volatility condition fails; otherwise hold and record realised financing.
A rejected example
Reject a positive policy-rate differential when the broker's actual long swap is negative. The headline rate gap is not a substitute for financing charged to the account.
Common variations
- Separate variant only: use three-month forward points instead of broker swap.
- Separate variant only: monthly rather than weekly rebalance.
- Separate variant only: equal-risk four-position basket with its own currency-factor cap.
Rebuild this method on the platform you use
The written rules work independently of the charting app. Match the same feed, timeframe, indicator settings and completed-candle timing before comparing results.
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Keep every test organised.
The CSV gives you one place to record the setup, costs, execution, outcome and whether you followed your rules.
Download test-plan CSV ↓