Is There a Small Number of Markets?

In theory, I've got 150 markets I can trade. The reason why there's a small number of markets is this replication strategy. You can't do that with a large number of markets because essentially intuitive is not enough information in the series of returns you've got to tell you what position you should have in 50 or 150 markets. So if I was to run my dynamic optimization strategy and I'm not sure if I've done this explicit experiment would be interesting, but instead of allowing myself to take a position in any of 150 markets, I only allow myself to take position in just 14. Now, the expected return in the back test may or may not change. In fact, it may

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