There are plenty of known effects that are relatively simple to automate
Holding overnight risk yields superior risk-adjusted returns. Buying end of month and dumping few days into new month. There are dozens of such effects
These have mechanical reasons for their outperformance - overnight risk has to do with how borrow interest rates for equity markets are calculated and firms unwilling to hold unhedged exposure overnight. Longing EOM has to do with people getting their paycheck EOM and auto buying index funds, and so on and so forth.
Systematic trading isn't magical, it's identifying these kinds of (often simple) effects and building a portfolio of them.
As an individual investor you actually have a huge advantage over large institutions in that your portfolio is nimble and easy to get out of.
As a relatively simple exercise - consider a hypothetical portfolio that's simply long SPY for the year. Could you identify _one_ day in which you'd rather be flat? The answer is probably yes, and the reason you can do this (and not a billion $ AUM fund) is that rotating in and out of positions is cheap for you.
When news about Iran hits the tape, who do you think can exit their positions faster? Joe Schmoe with $30k in his brokerage account, or Citadel with a $100bn position?
Holding overnight risk yields superior risk-adjusted returns. Buying end of month and dumping few days into new month. There are dozens of such effects
These have mechanical reasons for their outperformance - overnight risk has to do with how borrow interest rates for equity markets are calculated and firms unwilling to hold unhedged exposure overnight. Longing EOM has to do with people getting their paycheck EOM and auto buying index funds, and so on and so forth.
Systematic trading isn't magical, it's identifying these kinds of (often simple) effects and building a portfolio of them.
As an individual investor you actually have a huge advantage over large institutions in that your portfolio is nimble and easy to get out of.
As a relatively simple exercise - consider a hypothetical portfolio that's simply long SPY for the year. Could you identify _one_ day in which you'd rather be flat? The answer is probably yes, and the reason you can do this (and not a billion $ AUM fund) is that rotating in and out of positions is cheap for you.
When news about Iran hits the tape, who do you think can exit their positions faster? Joe Schmoe with $30k in his brokerage account, or Citadel with a $100bn position?