Getting historical data is possible, however, the data appears only to have price information. There is no record of the cost/profit of carry that would be incurred when taking a position due to the interest rate differential.
This cost/proift appears to be significant at times. I have a few questions:
- Has anyone here tested forex while accounting for the interest rate differential? Is it as significant as it appears it might be?
- Does anyone know a good source for historical interest rates as used by forex brokers to determine the cost of carry?
- Is this something we should be spending our time on?