Buy Strength – Sell Weakness

If the signals came all at once, we always bought the strongest markets and sold short
the weakest markets in a group.
We would also only enter one unit in a single market at the same time. For instance,
instead of buying February, March and April Heating Oil at the same time, we would
pick the one contract month that was the strongest, and that had sufficient volume and
liquidity.
This is very important! Within a correlated group, the best long positions are the
strongest markets (which almost always outperform the weaker markets in the same
group). Conversely, the biggest winning trades to the short side come from the weakest
markets within a correlated group.
As Turtles, we used various measures to determine strength and weakness. The
simplest and most common way was to simply look at the charts and figure out which
one “looked” stronger (or weaker) by visual examination.
Some would determine how many N the price had advanced since the breakout, and
buy the market that had moved the most (in terms of N).
Others would subtract the price 3 months ago from the current price and then divide
by the current N to normalize across markets. The strongest markets had the highest
values; the weakest markets the lowest.
Any of these approaches work well. The important thing is to have long positions in
the strongest markets and short positions in the weakest markets.