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> If you really want a
> secure consistent return in the future you have to accept "sub-optimal"
> returns in back-testing, ie you have trade a universe of markets which is
> far more diverse than these 20 (and preferably far bigger).
Robert,
If you were to diversify a $100k account, what would you suggest then?
Do you have a standard technique you use? Market selection is a critical
variable & I don't think it gets the attention it deserves ...
As an aside, I'd be interested to hear if folks have ever discovered any
discrepancies between market-to-market correlations and correlations between
the equity curves of the same system(s) applied to those markets.
It seems to me that the latter is more important for diversification purposes,
though it's possible that price-based vs. equity-curve-based correlations are
more or less identical.
Cheers,
Cab Vinton
cvinton@xxxxxxxxxxx
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