RESEARCH FRAMEWORK
Carry framework
Researches whether relative interest-rate conditions support a longer-horizon currency position.
Only the measurements the rule needs
Policy-rate pathForward points or swapVolatility filter
Conditions before an entry exists
- Expected rather than only current rate difference is documented
- Actual broker financing is known
- Volatility and event risks are capped
ENTRY
A separate price or portfolio rule; carry alone does not define timing.
STOP
Portfolio risk limit and thesis invalidation, not a token tight chart stop.
EXIT
Rate-expectation reversal, price invalidation or time-based review.
DO NOT TRADE
Crisis regimes, crowded risk trades and assuming positive carry offsets large spot losses.
What has to happen before capital is at risk
1Use actual financing costs
2Avoid look-ahead in rate expectations
3Control USD factor exposure
4Stress gap risk
Report gross and net results, the full eligible sample, maximum drawdown, trade distribution and any rule changes. Then repeat on data that did not influence the design.
Use the same protocol every time.
The CSV test plan records eligibility, costs, execution, outcome and rule adherence without turning an example into a promise.
Download test-plan CSV ↓