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Suppose you have a group of markets and one trading system. You want to
split your capital between two markets and trade them simultaneously. How
does one choose?
Perhaps the trading system needs to pass the robust test first: favorable
profit factors across several markets going back several years. If the
system is robust, you simply choose two markets having the least correlation.
You could pick the two best performers, but isn't there something wrong
with that approach?
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