Ever so often US financial websites roll out the same amazing fact: that in such-and-such a trading period (six months or a year) Goldman Sachs (or JPMorgan) made zero daily losses on the markets. Zero. Their algorithms are able to game the system such that the worst the giant squids would ever do is break even.

You can understand the allure of such trading systems, in which “black boxes” just about guarantee consistency and an ability to smooth out volatility. They don’t necessarily deliver market-beating performance, but they don’t lose money...

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