I love this quote from Wesley Gray, Ph.D:
The sad conclusion is that none of these ideas stand up to intense robustness tests, except for the simplest, technical rules. You just can’t beat them. It’s kind of crazy when you think about it. We had hoped that having tested every model and approach under the sun that we would be able to triumphantly announce that we had identified a way to reliably predict the market using fancy algorithms derived from 100’s of academic researchers. But it just wasn’t the case. We’ve built these models: They aren’t reliable; they aren’t robust; and they are littered with data-mining. A large swath of the financial services industry would love to have you believe in their magic. I’m here to tell you that it doesn’t exist. Sorry.