I've never considered a system based on interest rate spread, but wouldn't the best possible way be to have an automated trading system that automatically buys a few seconds before the swap is added to your account... and then sell immediately after? This would eliminate the risk of the pair dropping by more than a few pips. Of course I don't know if this would be profitable after taking the bid/ask spread into account as well.
If you do this with a currency that has quite a wide interest spread, say, like GBPvJPY, it might work.
Last edited by Yarcofin; 04-26-2008 at 06:40 PM.
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