As a veteran of one algo shop, I have this to say: Play with the data all you like. Don't try to trade on it if you don't really know what you're doing. (Or, j

As a veteran of one algo shop, I have this to say: Play with the data all you like. Don't try to trade on it if you don't really know what you're doing. (Or, just recklessly trade other people's money. It's fun.) What you're seeing here is the "napsterization of finance." (Google it, it will lead you to the article I am almost plagiarizing). Basically, the market at large puts together a pot of money (called "alpha", debatably) The better you are at trading, the more of that pot you get. BUT this is not a zero sum game. It's worse. If the markets are functioning properly, then the better you are a this, the bigger the share of the pot you get, AND the smaller the pot of money gets. It used to be that middlemen like the NYSE stock market specialists made very large amounts of money doing what Homer Simpson automated with a drinky bird. Now, the also shops have already shrunk that pot considerably. Good news for your pension fund. Bad news for you if you try this yourself. So don't.