What do we really mean by diversification anyway? How many markets do we need to trade? If 'more is better', why exactly is that? What is the relative value of diversifying across markets (such as stocks, bonds, currencies, commodities) versus diversifying across strategies (having multiple models of different types, time-frames or parameters)? Can a basket of stocks be 'diversified' or is the risk of their auto-correlation too high, particularly in an extreme event (the one we really care about that can send us broke)? How much capital is required if one wants to trade a diversified range of futures contracts? Are there alternatives, such as trading CFD's? Is it all too complex? Should we overlay volatility smoothing techniques into our models?