### Introduction

Carry trade is very common in the foreign exchange market. The strategy systematically sells low-interest rate currencies and buys high-interest rates currencies. The “carry” of an asset is the opportunity cost of holding that asset. Carry trade strategy holds one currency relative to another in order to capture the spread between the rates. We can think of this strategy as borrowing money from one country with a lower interest rate and investing it in another country with a higher interest rate.

### Method

#### Importing Custom Data

The central bank interest rate data is from Nasdaq Data Link. For the trading universe, we choose 9 currencies whose central bank interest rate data is available from Nasdaq Data Link.

rate_symbol_by_ticker = {
"USDEUR": "BCB/17900",  # Euro Area
"USDZAR": "BCB/17906",  # South Africa
"USDAUD": "BCB/17880",  # Australia
"USDJPY": "BCB/17903",  # Japan
"USDTRY": "BCB/17907",  # Turkey
"USDINR": "BCB/17901",  # India
"USDCNY": "BCB/17899",  # China
"USDMXN": "BCB/17904",  # Mexico
}
for ticker, rate_symbol in rate_symbol_by_ticker.items():


We save the interest rate symbol and the correspondent Forex asset symbol into a dictionary.