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I think this is not linked to the pickle protocol, but to the way we transfered the pickled file from my linux machine to your windows machine. This should be done in binary mode, but I have no idea how to do this via a USB drive...
Update the protocol for the cPickle.dump in SImdex.save() so that files can be used in both Linux and Windows, as denoted in http://stackoverflow.com/questions/3577382/cpickle-unpicklingerror-invalid-load-key ...
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