AgentSkillsCN

forex-systematic

适用于多因子货币模型的系统性外汇交易工作流，涵盖carry、价值、动量以及宏观信号等维度。当任务涉及在投资组合层面构建外汇阿尔法并进行风险预算时，可选用此类工作流。

SKILL.md
--- frontmatter
name: forex-systematic
description: "Systematic FX trading workflows for multi-factor currency models across carry, value, momentum, and macro signals. use when tasks involve portfolio-level foreign-exchange alpha construction and risk budgeting."

Forex Systematic

objective

Run diversified systematic FX portfolios with robust factor attribution and risk controls.

workflow

  1. •define factor universe, currency basket, and rebalance cadence.
  2. •build and normalize carry, value, momentum, and macro features.
  3. •optimize portfolio weights with turnover and liquidity constraints.
  4. •stress factor exposures under policy shocks and risk-off regimes.
  5. •deploy only when factor diversification and cost-adjusted edge persist.

required diagnostics

  • •factor contribution stability across market regimes.
  • •currency-cluster concentration and correlation diagnostics.
  • •turnover cost drag versus gross alpha.
  • •drawdown and recovery profile by factor sleeve.
  • •signal decay and forecast calibration metrics.

risk controls

  • •enforce country and currency concentration caps.
  • •enforce liquidity filters and slippage limits per pair.
  • •enforce emergency de-risking under macro shock conditions.

outputs

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

resources

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