I'm new to actually trading, but have studied for quite a while. I'm a pretty sharp dude, but just haven't pieced a necessary pile of knowledge together yet and I hope to get help here. I know there's a lot of negativity here and I aim to avoid attracting it. I do want honesty even if it's brutal, so please feel free to be appropriately pointed in your arguments. My intent with this initial thread is to use a series of questions to spark a discussion that hopefully will help me and possibly others form useful beliefs that can possibly used to for a winning method. I lean hard to an empirical approach and try my best to stray from untestable or subjective methodology, but am open to anything well thought out. I know we all know some things, and nearly all of us think we know some other things, but if I had to guess, a solid way to approach trading is to form a belief system that is close to truth as possible and hoping to end up with enough legos to build something. That said, I have a lot to learn, but I at least think I am entering with a good level of skepticism, high hopes, a general understanding of the topic, and a lot of hopefully reasonable questions. 1) I've read some books lately that I've been told are some of the better trading books out there (feel free to opine): Winner Take All (Gallacher), and Evidence-Based Technical Analysis Aronson), and a hefty amount of Larry Williams books which contrast the previous two sharply in their level of optimism, amongst other things. It seems Gallacher is an intellectual that is rather depressively convincing. He more than suggests that while technical system trading can make money, that opportunity is dwindling fast due to technological advances and increasingly more efficient markets. He claims that he can't really recommend the mechanical approach as it's increasingly hard to follow as the available gains are reducing. Alternately, he suggests trading on fundamentals is the only way to have a substantial edge and experience large gains. How depressing since I've apparently wasted a ton of time focusing on first TA, then having moved on to mechanical systems trading... I suppose I want to start by finding out about how people here feel about this? How correct is he? 2) Which markets offer the least efficiency or the greatest odds of systematic exploitation? I've read much about how the most highly liquid markets offer the least amount of opportunity since edges vanish quickly. I've heard people say that the markets that are traded less offer more opportunities because less pros and bots are abound. Of course a concern here might be these less traded markets have larger spreads and higher general costs which may hurt any advantage we might find there. Thoughts on this? Is it rational to believe that futures (being zero-sum technically, and have a high-level of interest) are more difficult to systematically trade than a small cap stock? 3) I understand how important costs are to the game at any timeframe, but also realize to make substantial returns requires you zoom in some from buy and hold. In other words, long-term investing being one extreme, and scalping to be the other. Many suggest you need to swing or position trade to reduce the markets (read house edge) edge to give yourself a chance. That said, is scalping a realistic possibility anymore, even with very low non-retail commissions? Do you have opinions on where the best opportunities lie for retail traders in terms of costs regardless of market? 4) What types of edges exist? This could and possibly should be a thread unto itself, really. I know many claim reversion to the mean, excursion from the mean, seasonal cycles, other types of time cycles, spreading between correlated markets, intraday patterns, longer-term patterns, fundamentals (finding value mostly, I suppose), volume/price relationships, volatility speculation in options, mispricing of options, etc. Did I miss anything? I know of things such as arbitrage but as I understand it, there really doesn't appear to be an opportunity to an outsider to trade this way. 5) I've met a few people living here in Chicago, one of which I know (we're well acquainted and he lives very well) makes a living trading his own account at the exchange (he has no other job), but he refuses to discuss his methods in virtually any capacity. He has only been encouraging insofar as asking me to take an IQ test and offering to submit the results and a resume to parties who may take me under their wings in or around the exchange. Obviously he is of the mindset that the less who 'know', the better, or is under some kind of NDA i'm unaware of. What is this guy likely doing that he needs to trade his own account from the exchange? I would assume he's trading something at a high-frequency, but that's just a guess based on why he might bother paying for a seat there. I've heard him say he's made as much as 200K in a day and lost as much as 80K in a day (his lifestyle would seem to support the reality of this, but I can't definitively verify anything). If this is true, he's obviously trading size, but what are traders like this most likely doing? Even from a macro point of view? 6) I've spent time trying to develop systems both intraday and based on daily charts and I've found that while I thought I found something repeatedly, I was quickly disappointed by how checking an out of sample set or walking forward it didn't hold well. It seems to me as if the futures markets almost seem to know what you are trying to do and it changes on you as soon as it's given you too much. I've tried extremely simple unoptimized and complex, highly-optimized rules and find largely the same thing. I've tried very hard to avoid model selection bias and curve fitting traps; wrapping an idea around a chart rather than gazing at charts looking for non-existant visual patterns, but I still largely come up empty-handed. Why is this? Can the markets really be mostly efficient? If so, how do those who claim to daytrade for a living make livings? Is everyone here lying? I would assume many are, but who isn't and what are they doing to get an edge? Again, I don't expect someone to show me tick for tick how to do what they do (although that would be spectacular), but how does one obtain their edge? I've looked at price, time, removed nearly every indicator, removed myself mostly by shooting for a mechanical approach. I've spent hundreds of hours poring over charts and books. What is it that I am likely missing? Thanks for the help, sorry for the ridiculously long first post, and take it easy on me.