The most profitable (and effort efficient way) is to routinely invest in a broad basket of stocks over a long period. Ie Voo and Hold.
Does it follow then that no-one is beating the index consistently?
Of course there are people who are not a statistic. Maybe not everyone is made for it, but that doesn't mean noone is out there beating the market.
Maybe its hard if you're a hedge fund, but I'm talking about individuals with relatively small accounts.
Moreover if you can get an edge that is even 2-3% over a coin flip all you need is risk management to make money.
Not understanding this is how you go broke. I traded for a number of years and did well. It was not hard to regularly beat the market, especially in futures and options.
Personally I like to do primarily tech stocks and mix it up doing swing trading (holding multiple days) with a bit of scalping as well (buy / sells over minutes).
At first I lost a lot of money scalping but now I seem to have a much higher success rate - you start to notice certain patterns in the way stocks move if you watch the charts long enough, and I've been learning to have more conviction in my positions.