Yes, they move together (and there are many others that join the band: ES, TF, YM, CAC...).
In my view when they do not move in unison (in short time frames) that is mostly due to random moves. Therefore it does not really matter which is chosen.
Most postings here focus on the mistakes people might make.
Just to add another flavour:
What if it is not that loosing traders are making some particular mistakes but others know how to hit them and exploit that to make money?
A relationship like plankton and whales.
Whales know where the...
It may sound strange but I think you are absolutely right with your feeling, just not with the word "me" at the end.
That's the part where you are surely not right.
It really is about psychology: The real big boys have several ways to know where the small traders have their positions. And...