> I had the same result from most papers. My personal conclusion is that when people get a winning strategy they don’t publish. This is kind of obvious to me.

> I had the same result from most papers. My personal conclusion is that when people get a winning strategy they don’t publish. This is kind of obvious to me. It is also the reason the OP posted their results. I'm sure if they found one strategy that worked, after putting that much time into their research it would be really stupid to announce to the whole world that it works. On the other hand, in the trading world where everyone is a competitor, you might want to deliberately introduce some confusion - but it looks like plenty of actors are doing this anyway.