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Forex carry rollover interests

Hello,

I was trying the Forex carry trade strategy that I took from the strategy library.

https://www.quantconnect.com/tutorials/strategy-library/forex-carry-trade

During backtesting I don't understand where rollover interests are shown. Actually I don't know if they are taken in account at all.

This is very important because a forex carry strategy focuses mainly on earning interests. 

Does sombeody know if rollover interest are included in Oanda model? I didn't find anything about that in the documentation.

Thanks.

Daniele

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Hi Daniele,

Correct, rollover interest is not accounted for in the strategy. To do this, you would need to import custom data containing the interest rates for the currencies that are being traded and then the rollover interest can be calculated using Oanda's guidelines found here. This will better inform your backtests but, if you live trade with Oanda, note that they calculate financing charges/credits on a near-continuous basis and so these gains or losses will be directly reflected in your account balance and need not be accounted for in the code.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Jack,

Daniele raised a very relevant point above.

The idea of the carry trade is to earn interests, while trying to avoid or mitigate losses due to spot prices volatility. With this in mind, not being able to account for the rollover interests in the actual strategy returns and profitability stats is problematic, in an otherwise fantastic platform.

I am not sure how this works with live trading. Is Quantconnect pulling updated unrealized P&L for all positions from Oanda following rollover?...

But not at that stage yet, I am first concerned with backtesting. Could you by any chance think of any workaround to account for the carry interests in the actual strategy results?

 

Thanks in advance!

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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