When I first started in this business, mechanical trading was considered crackpot stuff. Since then, there has been a steadily increasing number of papers providing evidence that the random walk theory is false. System trading has gone from a fringe idea to being a new kind of orthodoxy. I don’t think this could have happened if there weren’t something to it. However, I have to admit that I find it unsettling that what began as a renegade idea has become an element of the conventional wisdom.
