MCP For Claude Marketplace
Futures Carry Trade Strategy

Futures Carry Trade Strategy MCP Connector for Claude

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Identify arbitrage opportunities by comparing implied market carry against theoretical cost-of-carry models.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides a deterministic engine for executing futures carry trade strategies. It identifies arbitrage opportunities by calculating the difference between implied market carry and the theoretical cost-of-carry (risk-free rate + storage costs - convenience yield). Use get_daily_signals to generate BUY or SELL signals based on market regimes like Contango or Backwardation. You can also use calculate_carry_performance to analyze historical P&L and roll-down returns, or analyze_market_regime to classify the current state of the futures curve.

futurescarry-tradearbitragequantitativecommodities

3 tools expose this connector's capabilities to your AI agent.

calculate_carry_performance

Analyzes the historical profitability of the carry strategy

analyze_market_regime

Classifies the current state of the futures curve

get_daily_signals

Provides the primary trading signals by comparing implied market carry against theoretical model carry

See how to talk to your AI agent using Futures Carry Trade Strategy.

Generate trading signals for these front-month prices [100, 101, 102], second-month prices [105, 106, 107], risk-free rate 0.05, storage cost 0.01, convenience yield 0.02, front OI [15000, 16000, 17000], second OI [12000, 13000, 14000], and 30 days between months.

The signal for the latest date is BUY, with an implied carry of 16.1% and a theoretical carry of 4.0%.

What is the current market regime if the front-month price is 50 and the second-month price is 48 with 30 days between months?

The market is in Backwardation.

Calculate the performance for a signal history of [{'date': '2023-01-01', 'signalDirection': 'BUY'}] and front-month prices [100, 105].

The cumulative carry P&L is 5.0 and the roll-down return is 2.5.

Signals are generated via `get_daily_signals` by comparing the implied carry from the futures curve against the theoretical cost-of-carry model, filtered by liquidity and volatility constraints.

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