I hope someone can help me solving this mystery: I wrote a little trading program that enters and exits trades randomly, without any parameters. That means, the program chooses the direction randomly, enters a trade after a randomly chosen time, and exits it after a random time. I tried it on several futures, and it consistently loses money, never wins over any significant number of trades. The only "parameter" is the maximum time the random generator can generate before the next buy/sell action. Why would a strictly random controlled program not produce results that are about break even, at least after a statistically significant number of trades? Instead, with waiting times randomly chosen between 1 and 60 seconds as an example, trading one ES contract results in losses of several $1,000 per 24 hours consistently!