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You mean CK -> EU -> Vic -> HOI?

I tried it once, but didn't finish CK :rofl:

I did EU2 -> Vic:Rev -> HOI2:Arma once as Brandenburg/Prussia/Germany. By the end of EU2 I had conquered most of Germany and had many factories and colonies. So by the start of Vicky I was a mega superpower compared to the rest of the world. It was my first real game of vicky, but it was too easy. After vicky I started HOI and I had so much IC I didn't have enough resources.

So yeah, if you do it you have to limit yourself and you have to mod the games extensively or else you'll get really weird stuff.
 
If you play a small country, it can get quite intresting watching what the big countries do. Who´s the superpower in 1940? I think Austria is most likely.