Posted: Thu May 07, 2009 11:18 pm
I had never tested a long/short only filter on my forex system.
If you want to trade a turtle type system with a portfolio long only including currencies then include the US$ Index futures.
Long US$ Index = short basket of currencies (euro, Japanese yen, British pound, Canadian dollar, Swedish krona and Swiss franc).
Strength/weakness of most commodities is highly correlated with strenght/weakness in the US$. Therefore adding US$ Index futures to a long/neutral system will improve performance.
I would not include any interest rate futures at this moment in time.
Maybe add a 2nd system (Donchian) that trades long/short but includes interest rate futures.
Allocation 50-50, or i would even favor 75 Turtle, and 50 D.
my 2c