...Perhaps it doesn't matter, so long as it works, but strategies have an annoying (and expensive) way of losing their edge, do you think the edge is likely to be eroded if/when the minidax grows in volume like the ES did?
Answer:
Unfortunately I don't have a clear idea about why DAX has this edge, it also depends on its money structure (tick weight in Euro), it might be unbelievable but many intraday strategies on Dax don't show decent results on Eurostoxx yet being the 2 strongly correlated. About the miniDAX I don't expect the same effect (hopefully) of the miniSP, that was not the "mini" but the electronic change markets went into, definitively a major change in market activity
If you have a strategy that works only on one market ( in the example on Dax) with not a clear Answer about what is the edge and that not work even in correlated markets...Where do you take the confidence to use this strategy in realtime? I will be very scared to use it in realtime because I would think that it is only a lucky period destined to end soon....maybe I want too many confirmations before using it?
It is hard to get an ultimate confirmation about a strategy, I said many intraday strategies on DAX which are successful don't show profits on EuroStoxx, this does not mean they lose money there, they simply don't make money, if they were heavily losing I would obviously be skeptical to adopt them but it is a matter of market structure so that my edge gets down to 0 I can live with that