Another straightforward example would involve using proprietary weather forecasting software to try and predict the global grain/cocoa/coffee/whatever harvest, so that you can then trade accordingly if you can see a bumper crop coming up.
There are many such strategies. It's not all HFT either. For example, a strategy that short BTC and goes long ndx/qqq at the open and closes both positions at the close (four trades total), allocating half of capital to each pair, posted a double-digit gain for 2023 despite btc rising. https://greyenlightenment.com/2023/12/31/2023-bitcoin-method...
there are many other things like this. gotta keep your eyes peeled but they exist.
I've no idea what the current models look like. I imagine it was all RNNs but maybe transformers have taken over?
If you act faster on the same feature as everyone else, or you predict the feature accurately, you can anticipate what the market will do in response.
The market often overreacts to new data. So if satellite imagery shows steep decline in parked cars, the stock will be predictably oversold. You can then take a contrarian position (buy the stock before it reverses to the mean).
Some commonly used features by popular public trading bots create predictable market movements, no matter if the feature itself is long-term informative/profitable.
Also we are some hobbyist predictors who try our abilities out on all sorts of questions at metaculus.com. Highly recommend to get a sense of how good some people are at prediction.
Self-fulfilling prophecy is a thing, even when the prophecy is algorithmic.
I'm pretty sure there are examples which have a track record of decent returns above the markets they trade in with longer term strategies.
So, i'd say there are examples of forecasting working, but generally the people who are good at it don't write about it, and instead use their knowledge and ideas to quietly make money from their insights :)