Very true and often a big surprise to people. This is one reason people focus on high frequency trades—more data.
> diversification … free lunch
Mostly true, but at the risk of pedantry it is not quite free. It is quite hard to find 10 good trades and far harder to find 100. Diversification can dilute alpha.
> World conditions change. Competing actors respond to the historical data.
Imagine how hard physics would be if the laws of physics changed whenever you got close the theory of everything. Or if mostly when theories were published they stopped working.
Very true and often a big surprise to people. This is one reason people focus on high frequency trades—more data.
> diversification … free lunch
Mostly true, but at the risk of pedantry it is not quite free. It is quite hard to find 10 good trades and far harder to find 100. Diversification can dilute alpha.
> World conditions change. Competing actors respond to the historical data.
Imagine how hard physics would be if the laws of physics changed whenever you got close the theory of everything. Or if mostly when theories were published they stopped working.