AgentSkillsCN

forex-carry

适用于收益率差异捕捉、滚动收益归因以及具备防崩盘风险意识的头寸管理的外汇carry交易工作流。当任务涉及carry组合构建以及资金敏感型货币配置时，可选用此类工作流。

SKILL.md
--- frontmatter
name: forex-carry
description: "FX carry trading workflows for yield-differential capture, roll attribution, and crash-risk-aware position management. use when tasks involve carry basket construction and funding-sensitive currency allocation."

Forex Carry

objective

Execute carry-focused FX portfolios with explicit funding, roll, and drawdown controls.

workflow

  1. •define carry universe and interest-rate differential inputs.
  2. •construct long-high-carry versus short-low-carry baskets.
  3. •attribute returns into carry, spot, and cross-currency basis effects.
  4. •stress carry baskets under risk-off and policy-rate shock scenarios.
  5. •deploy only when crash-risk filters and funding constraints are satisfied.

required diagnostics

  • •carry yield persistence and decay by currency cohort.
  • •downside tail behavior during risk-off episodes.
  • •spot-versus-carry return decomposition consistency.
  • •funding spread and basis sensitivity diagnostics.
  • •turnover impact on net carry realization.

risk controls

  • •enforce crash-risk hedge triggers and stop rules.
  • •enforce exposure caps in fragile high-yield currencies.
  • •enforce policy-event risk reduction windows.

outputs

  • •run python scripts/forex_carry_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
  • •write an implementation memo using references/forex-carry-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/forex_carry_diagnostics.py for deterministic diagnostics.
  • •use references/forex-carry-playbook.md for the domain checklist and delivery structure.