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Currency Carry Trade - tips required: roll over, spread, exit, historical data?
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Currency Carry Trade - tips required: roll over, spread, exit, historical data?

  #11 (permalink)
Market Wizard
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tcheetox View Post
Thank your for this helpful answer!

I didn't know it was interest bearing in such way

That's how forward rates are derived (from the underlying currency interest rates), if they aren't an arbitrate situation is created.

tcheetox View Post
Although I decide to develop my strategy through futures instead of with currencies only.

The fee structure is clearly different therefore i don't know how profitable it can (cannot) be.

Why haven't you found historical data for such rate, leaving you the possibility to create a portfolio though?

I'm a professional trader. I view myself as being pretty good at what I do. if somebody started trading in my markets with the handicaps that retail forex brokers put on you for holding positions long term, I would laugh and look forward to taking their money. As such I do not think a retail trader can build a a profitable carry trade portfolio with a retail forex broker. (The possible exception to this was CitiFX Pro but they shut down earlier this year and you now need to be institutional to access Citi's FX products.)

Not surprisingly it is my belief that futures would be a lot more efficient method to construct a carry trade for a smaller trader. Unfortunately there are not enough liquid futures to do this and as such I have not put the effort into any further analysis. (This CME report shows that the total open interest for the USD:INR contract is less than 600 lots and all in the prompt month.)

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