StockSharp.Strategies.0374_FXCarry_Trade.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0374_FXCarry_Trade.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0374_FXCarry_Trade.py -Version 5.0.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0374_FXCarry_Trade.py" Version="5.0.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0374_FXCarry_Trade.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0374_FXCarry_Trade.py" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0374_FXCarry_Trade.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0374_FXCarry_Trade.py, 5.0.0"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0374_FXCarry_Trade.py@5.0.0
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0374_FXCarry_Trade.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0374_FXCarry_Trade.py&version=5.0.0
                    


                            Install as a Cake Tool

FX Carry Trade Strategy (Python Version)

This currency strategy ranks a universe of currency instruments by the interest rate differential between the base and quote currencies. At the start of each month it goes long the TopK highest‑carry symbols and shorts the TopK lowest. Profits aim to capture positive carry on longs while paying the negative carry on shorts.

Interest rate differentials are gathered from each security’s yield data. Positions are sized equally and rebalanced monthly; any instrument leaving the top or bottom groups is closed and replaced.

Details

  • Entry Criteria:
    • On the first trading day of the month, compute the interest rate differential for each currency.
    • Go long the TopK currencies with the highest carry and short the TopK with the lowest carry if order values exceed MinTradeUsd.
  • Long/Short: Long top carry, short bottom carry.
  • Exit Criteria: Positions are closed when a currency leaves the selected sets at the next rebalance.
  • Stops: None.
  • Default Values:
    • Universe – list of currency securities.
    • TopK = 3.
    • CandleType = 1 day.
    • MinTradeUsd – minimum trade value.
  • Filters:
    • Category: Carry.
    • Direction: Long & short.
    • Timeframe: Monthly.
    • Rebalance: Monthly.
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Learn more about Target Frameworks and .NET Standard.

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Version Downloads Last Updated
5.0.0 230 8/7/2025

fixes.