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HFP23

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Everything posted by HFP23

  1. HFP23

    Carry Trade

    I made a simple analysis of 127 pairs from Thinkorswim. I found that the average annual long interest rate gained is around 0.0605106%, the average short gain is 0.0538468%, the average long loss is 0.4498615%, and the average short loss is 0.0331761%. The average long loss is around 743.44% higher than the average long gain, and the average short loss is 616.12% higher than the average short gain. We have 96 available wining pairs but on the other side there are 155 loosing pairs. Now it looks very difficult to build a winning position, but I dont know if certain pairs have different impacts on each other and even less by how much, or if those weights are dynamic and change or a if they are relatively static, I dont know much about forex, but if they are different and stable you could make some currency groups whit different amounts of capital distribution based on those weights. I think that the execution risk can be handled by a custom software and I think that the risk associated whit the illiquid pairs could be solved maybe whit options if there are any for them, but I dont know.
  2. HFP23

    Carry Trade

    Do you think that it Is possible to build a portfolio that using most or all of the currency pairs in the world it counteracts the net movement of the whole currency market in a way that produces zero losses from those changes but it gives you a nice net 0.20% or higher for the carry trade interest? I mean, I think it is possible and a 0.20% riskless annual yield is very nice in the long run considering a 100+ leverage, thats a 20% to 40% return on your money, plus the compounding. The problem is how can you prove it to be possible or not, we are talking about a lot of pairs and the complex dynamics between them, plus how to deal whit the changes in interest.
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