[young_rutabaga]

This paper is a hilarious dump of WQ's randomly generated formulas that (hopefully) happen to pass in-sample test.

  Alpha#33: rank((-1 * ((1 - (open / close))^1)))

This formula trivially reduces to

  rank(open/close - 1)

which is an example of a mean-reversion strategy. But: 1) nobody bothered to simplify this formula, 2) as any mean reversion, it is extremely difficult to trade.

[astrofinch]

Why is mean reversion difficult to trade?

[young_rutabaga]

High turnover, high costs. You flip your position too often

[stainforth]

If the market flips against me, I just double my bet on the next play.

[dkersten]

the market can stay irrational longer than you can stay solvent

Martingale is a sure-fire way to lose all your money rather quickly.

[vecter]

That's a great way to go broke very quickly.

[anjc]

Only if you don't have infinite money on the side, in which case it's guaranteed to be profitable

[WJW]

You also need the other side of your trades to have infinite money. But in any case, why are you trading at all if you already have infinite money?

[rsecora]

Martingala with transaction costs are not profitable.