Since the history of markets there have been people who believed they could define a set of rules that would allow them to win more than they lose (reliably eno

Since the history of markets there have been people who believed they could define a set of rules that would allow them to win more than they lose (reliably enough to make it worth the gamble). There are many reasons why this is a fool's belief, at least with one strategy over a long term. As many people pointed out already, properly calculating risk is the usual failure. But even if you properly calculate risk, there are still possibilities (which you may deem unreasonably small to consider) which can happen. This is was the final straw that caused the 2007/8 failures. Any possibility greater than zero can happen. It doesn't matter what your models prepare you for. If that "virtually impossible" scenario occurs, you lose. The more commonly successful approach to algo trading is to identify an inefficiency in the market and capitalize on that. But that is a limited time opportunity. You either eat up all the inefficiency yourself (if you're lucky), or other people catch on and help you make the market properly efficient. Then you're on to the next game. And in many cases, the inefficiency you are capitalizing on is due to a lack of capability of your broker(s). And brokers don't like when you cost them money repeatedly. Eventually they catch on, and they shut you down. So you trade your time for money by way of constantly searching for new brokers and gaining access to a market only so you can profit your way right out of that market. Summary: create value to win. Any other method of profit is an eventual failure.