[habibur]

Doesn't the conclusion indirectly also indicate that day trading is a zero sum game?

If the answer is yes, then the only way you can make money from day trading is from commissions you earn performing day trade on behalf of other parties with money.

[ZetaZero]

Poker is a "zero sum game", yet experts routinely win money from the suckers. Unlike Craps, Poker as a huge skill component.

[bluGill]

No.

First they ran in simulation, not the real market. It may be that that act of being in the market changes the market enough to make your strategy work. (though typically it is the opposite - things work in simulation but applying them to the market makes them not work). As such this paper doesn't really tell us anything useful.

Even if we ignore the above, they only tested a few different strategies. That says nothing about any other trading strategy that someone might apply: any of them might work.

I still think day trading is a bad way to invest, but this paper doesn't prove anything even though it speaks to my bias.

[bumby]

>things work in simulation but applying them to the market makes them not work

Can you elaborate? Is this because large flows of money eventually become the market? Insinuating that some strategies only work at low trade volume?

[bluGill]

Pretty much. When you trade any amount of money your trade is changing the market.

In some less honest markets there are even cases where what the numbers say you can trade isn't possible because those offering the deal won't follow through, or will let a friend in ahead of you

[JustFinishedBSG]

This is a misunderstanding of zero-sums games.

Zero-sums game are actually proven to have a winning strategy.

Chess is a zero sum game.

[kriops]

Chess is not believed to be a forced win for either player though.

[Kranar]

OPs claim is poorly stated. He's referring to Zermelo's theorem which states that a finite game with two players that's deterministic and zero sum with perfect information and no possibility of a draw must have a winning strategy. It's not difficult to prove that this must be true and you likely can intuit why it's true (imagine building a decision tree for such a game).

But all of those qualifiers I mentioned are needed, and that's a lot of qualifiers. If any of them are no longer true then there is not guaranteed to be a winning strategy.

In chess, it's possible to end the game in a draw, so Zermelo's theorem does not apply to it and OPs claim is wrong about chess.

I'm fairly certain one can trivially disqualify one of those criteria when it comes to financial markets as well.

[simorley]

> In chess, it's possible to end the game in a draw, so Zermelo's theorem does not apply to it and OPs claim is wrong about chess.

Isn't it even assumed that a perfect game of chess is a draw. Once chess is solved, it'll be all draws.

[Kranar]

Yes it's an open question. The prevailing opinion is that a perfect game ends in a draw as you said, with a minority opinion that white can force a win. I am not aware of any credible opinion that black can force a win.

[Kranar]

The conclusion does not imply anything about day trading being a zero sum game.