It means it's quite possible to beat the market in terms of risk/reward, but not possible to make 100% per annum over a sustainable periode without blowing up in the process.
Just checked recently, but the TA trading systems I researched for my graduation thesis 10 years ago still produce the same results. Regarding your basic economic theory... you have to realise economic theory is just that.. theory, which doesn't quite work in the real world. As to supporting evidence. Quite a few succesfull CTA's out there that have pretty decent returns over a long period. And despite all the hocus pocus what they're doing isn't all that sophisticated. Sure, they change their systems but one never can be sure if performance improved or whether it was actually detrimental.
My guess is all major profitable traders with systematic approaches must have their individual edges. However, the whole game in financial markets, imo, is the question of How Fast one can Detect the degrading of the existing edge and How Well one can Polish it to identify/ meet any structural/ momentary changes in the long-run.
I believe that it can be violated by degrees. Which leads us to the definition of an 'edge'. A while back, I had been thinking of doing a journal in which an index would be traded on a daily basis, 100% long or 100% short, and plot the results versus the index. Unfortunately, life got very busy.
What do you think is gonna happen then, considering 65% of their allocation is in highly liquid bond, currency and interest rate futures?
I dont know about systems. My question is when a system shows a profit history or expectancy chart or whatever its called like the one above - would that chart be different if the investors did not choose to ride out the drawdown? To put it another way, was the system just lucky that it wasn't decimated by an emotional factor - the tolerance of its investors for losses/drawdowns?