To add to this, unless your model is situated, and can purturb the market, it has no way of knowing what happens when you flex your muscle. I have a friend who did algorithmic trading professionally for a few years, and he said it was amazing to watch the data. Said he could see other bots come along and poke him, trying to look for weaknesses in his algorithm to exploit. I would expect a purely formulaic trader to underperform other traders who can take advantage of others. It’s no different than how you have to win a rhoshambo turnament.