macrocephalopod

This is further proof to me that the “shannon’s demon” crowd are actually insane.

Shannon’s demon needs +ve arithmetic return but flat or negative geometric return. I generated this data myself so I know it has zero arithmetic return! The fact that you would argue with me about data *that I made up* is simply a confirmation that you are an idiot.

To be fair, you started the thread portraying the data as a real stock, and not a random stream you made up. What's the volatility of the actual data, and I assume it's daily data?

The entire point is that it’s a bait and switch! There is absolutely no way that you can read the entire thread and conclude “yes, it would be possible to make money from this” unless you are a moron. It’s 1%/day volatility zero arithmetic drift geometric brownian motion.

Well, I'd like to think I'm not a moron, and it wasn't clear to me the arithmetic mean was 0 until you explicitly said so. Maybe that was immediately clear to non-morons before you said so?

Mean zero is the *best case* for the strategy I described! If mean > 0 then a reversion strategy is short more often than long so it would lose money. If mean < 0 then a reversion strategy is long more than it is short so it would lose money.

This is such a weird argument to be having. I literally generated some random data and people want to tell me you can develop profitable trading strategies for it. Is this what going insane feels like?

Sometimes the real world feels insane. If you generated completely random zero-mean R and *multiplied* (1+R) by itself repeatedly - you'd have complete noise that you could become incredibly rich off of. Sorry, but it's true. Don't kill the messenger.