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Suppose that you constructed a trading signal, and found that your signal has good paper performance in two subset of stocks. In the first subset,

Suppose that you constructed a trading signal, and found that your signal has good paper performance in two subset of stocks. In the first subset, stocks have small market capitalization whereas in the second subset, stocks have large market capitalization. Which subset would you use for your live implementation? Please explain your reasoning in one or two sentences

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