First, that's true-ish in an expected value sense, not a Sharpe ratio sense. Even then, it's true only neglecting bid-ask spread (if you take liquidity) or adve

First, that's true-ish in an expected value sense, not a Sharpe ratio sense. Even then, it's true only neglecting bid-ask spread (if you take liquidity) or adverse selection (otherwise). But the big effect is behavioral, that for the average person, if you can stomach actually implementing a strategy with your own money then that increases the chance it's a loser.