HAS Reddit Mentions | ChartExchange

Not an equity curve post. Kind of the opposite.
Over the past year I built a testing pipeline that's probably overkill for retail: every strategy needs an economic reason to exist before I test it, gets validated on data it's never seen, has its Sharpe ratio adjusted for how many things I tried (you can find "winners" by pure luck if you test enough ideas), and gets hit with realistic costs like commissions, slippage, and borrow fees.
I ran dozens of ideas through it. Survivor count: basically zero. But the failures fell into three buckets and I'm curious which bucket the people actually making money live in.
**1. The well-known edges are real but too expensive to trade.** Post-earnings drift is a documented effect where stocks keep moving in the direction of an earnings surprise for weeks after. It still shows up in my data. Problem is the strategy requires so much buying and selling that transaction costs eat roughly 15% a year. The edge exists, the profit doesn't. Gross it made money, net it lost 1.19 Sharpe worth. The market didnt kill the anomaly, the friction did.
**2. The "someone HAS to sell" trades died in testing.** Ideas built around forced flows, like funds that must dump a stock when it leaves an index, kept failing. One turned out to be noise when I ran a placebo test (testing random dates instead of event dates, and getting the same "result"). Another one was real, but the cost to borrow shares for the short side was about 14% a year, which is exactly the size of the edge.
**3. Everything that "worked" was just the market in disguise.** This one stung. Six strategies looked great, Sharpe 0.9+. Then I compared them against a benchmark with matching market exposure instead of comparing against cash. All of them went to roughly zero. My best trend-following system scored 0.996 measured against cash. Strip out what it earns just from being long stocks, bonds, and gold: 0.015. It does beat buy-and-hold on a risk-adjusted basis, 0.80 vs about 0.61 for SPY. But that's not me being smart. That's the market paying anyone who holds risk. I built an expensive way to collect a premium I could get from three ETFs.
So my honest question for people who are consistently profitable: where does your edge actually live? Is it one strong signal you found? A bunch of weak edges stacked together? Trading something less crowded than US large caps? Or is it the execution, reading the tape, stuff a backtest can't see?
Genuinely asking because after a year of this, I've mostly proven what doesnt work.

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