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Re:Ask HN: Why isn't all stock trading done by algorithm? by sokoloff on Monday November 09, 2015 @11:43AM (#10534020)
The problem is that introduces a discontinuity in the market, where past training data may not be relevant to future price movement. It's not enough not just to not break the rules, but you may have to understand the effect of the rule change on the market.

"Hey look, these bank stocks are showing amazing relative strength on an overall down day. I better load up!" is a possible erroneous conclusion.

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