IB account currency exposure management based on trend following signals

[js190]

An IB account may start to accrue FX exposure with time, could we manage this systematically through reference to our corresponding FX futures or proxy instrument forecast? Perhaps we would need a specific roll config for these pairs with a shorter horizon?
Just sayin

[TobiasAntiGravity]

My 2 cents here; Trading from Norway, and having NOK as my home currency, I have thought about this. The NOK has an outragous deterioration in times of risk off and flight to saftey. (During covid it went from 8 NOK per USD to 12 in a very short time frame. Since march we are down over 20%.)

I was glad to hear Rob confirm my thoughts, I believe it was the last podcast; that since we are posting a margin, and the margin requirement is relatively low, say 10% on average. - your exposure to the changes in currency valuation would be 10% of the total change. So +2% on my profits is what the currency change impact would have been if I was trading live since march.

You could digg deeper into this matter and say that fx does cause greater changes in profits than that, since the sum total of unrealized profit becomes smaller if your currency appreciates in values. And vice vera. That is true - but your profits will only reduce in size, measured in home currency, but it cannot turn negative. So that part of the equation is something else in terms of risk management. And I would say that the system's volatility targeting also takes this somewhat into account since position sizing is calculated using the instrument currency value.

[js190]

Hey, good points but I was attempting to manage the latent currency exposure gained in example GBPKRW from trading something denominated in KRW from a GBP account. Without doing something explicitly with these expsures they will accrue - at the moment I just naively convert them back to GBP periodically, but surely we could let them persist if pysystemtrade has them as long signals etc.

[robcarver17]

Discussed in the new book, TLDR I don't bother with hedging currency exposure as it's random. It's well within the power of pysystemtrade to set up a seperate strategy which only trades FX, and which takes into account the net currency exposure, but you'll have to write this yourself.