Dan Brown showed me the real Holy Grail....
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Does The Holy Grail Exist?
- Thread starter normcarte
- Start date
I bid a lunch out at McDonalds. The salads are quite tasty and I'll throw in a beverage.
Quote from normcarte:
Hello,
Can someone provide a logical proof (sort of like a math proof) that it is either possible or impossible to create a trading strategy that is always profitable? Let's ignore commissions, spread and slippage for the moment, just to simplify matters.
For example, it is easy to show for a simple buy/sell strategy that an infallible system cannot be defined. No matter what your buy/sell criteria, no matter where you set your stops, and no matter how you manage your money, the stock can always go against you after the transaction. But, that is a simplistic example.
Of course, many other components can be added to a simple buy/sell strategy. The strategy can be hedged, for example. Off-setting transactions can be made. Options can be purchased.
Let's not consider straight arbitrage (same instrument in different markets), unless it can be shown that such opportunities are readily practicable. Generally, straight arbitrage requires either luck (finding a rare opportunities where an instrument is trading at two different prices) or vast resources (to take advantage of very minute differences in prices).
So, can someone profile a proof (a logical argument) that an always profitable trading strategy is either possible or impossible?
Norm
Long term capital management, although they didnt claim to have the Holy grail, am sure they had a logical argument that they were fully hedged, and they were Nobel prize winners, so what chance do the rest of us have at correctly proving anything?