I don't doubt it. (For background, I worked with financial risk and algorithmic trading and are now doing my own investments.)
You can create strategies that return well above the market average. But there are caveats:
* You have to know something nobody else knows. The moment a strategy becomes public it stops being effective. By very definition, everybody can't be reaping well above market average... And there is a huge number of very, very smart and very, very motivated people backed by very, very large pools of money thinking about this problem.
* Ability to test strategies on past data is very limited. When you come up with a thousand strategies and find out one of them works very well with historical data -- that's exactly what you found. A strategy that works with historical data -- not necessarily with future trading conditions. Also at some point your trading starts affecting the market and that cannot be simulated with historical data.
For anybody thinking about investing their own money I can highly recommend ignoring any complex financial products and just buy shares of companies that you think are going to be doing well in the future, that you think are undervalued at the moment and you have knowledge and experience to understand their business. Please, do yourself a favour and read "The Snowball: Warren Buffett and the Business of Life".
There are still strategies that work well even without a quant background or 'big data'. Something as simple as a pair trade of going long QQQ and short BTC during market hours has worked very well (55% annual returns over the past year).
There are strategies that seem to work but are burdened by a fundamental problem -- they just shift the risk. They bring steady results until an event happens that causes huge amount of loss.
As a risk guy I can tell you basic thing about risk: risk is cost. One way to make people miss an obvious large cost is if there is low risk of something happening but very large loss associated with it.
Ideally, you want to invest in things that have relatively known and quantifiable risks. Because that's pretty much a prerequisite to making an actual, informed decision. If there are large, unquantifiable risks then you are simply gambling.
As an obvious example of illusory returns, if you talk to your friend who has "invested" in a pyramid scheme they will tell you how fantastic and steady returns they are getting. You might decide to invest yourself and you will also probably see steady returns. Until the whole thing crashes down and, on average, everybody will lose.
You can create strategies that return well above the market average. But there are caveats:
* You have to know something nobody else knows. The moment a strategy becomes public it stops being effective. By very definition, everybody can't be reaping well above market average... And there is a huge number of very, very smart and very, very motivated people backed by very, very large pools of money thinking about this problem.
* Ability to test strategies on past data is very limited. When you come up with a thousand strategies and find out one of them works very well with historical data -- that's exactly what you found. A strategy that works with historical data -- not necessarily with future trading conditions. Also at some point your trading starts affecting the market and that cannot be simulated with historical data.
For anybody thinking about investing their own money I can highly recommend ignoring any complex financial products and just buy shares of companies that you think are going to be doing well in the future, that you think are undervalued at the moment and you have knowledge and experience to understand their business. Please, do yourself a favour and read "The Snowball: Warren Buffett and the Business of Life".