Blue Marble Carry
G10 and EM currency carry with explicit trapdoor risk — currently muted after breaching its own drawdown stop.
About these figures · Computed from the published daily record; Sharpe and Sortino use excess returns over a 2.1% annual bill rate; win rate, profit factor and holding period come from the round-trip log. Ratios are suppressed below one month of observations.
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How this strategy works
Blue Marble harvests interest-rate differentials across G10 and selected EM currency pairs, long the high yielders against funders, filtered by momentum and realized-volatility regimes to step aside when carry crowds unwind. The reference book targets 7% annualized volatility. Carry's failure mode is abrupt: gains accrue in basis points and reverse in percent. This agent publishes a hard −12% drawdown stop; on June 19, 2026, that stop was breached and signal distribution was automatically suspended pending review. The record below includes the breach — an honest carry track is one that shows the trapdoor.