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.