Liquid financial instruments are normally correctly valued. There are some situations when this does not apply; these are called anomalies e.g. momentum, post-earnings-announcement-drift etc. To beat the broad market returns consistently, a strategy must be based around this type of situation. These anomalies are grounded in a structural market behavior which prevents the inefficiency from being arbitraged.
Here are two examples of commonly discussed strategies not based on a reliable behavior:
1) Indicator readings e.g Buy RSI < 30, Sell RSI > 70
These are very appealing to the beginner backtester due to the ease of coding and likelihood that a combination of optimized parameters (out of millions) will generally look good over a specific test period.
If the market rewarded one indicator value over another, sophisticated players would soon take advantage and thereby cause it to disappear.
2) Options strategies e.g. iron condor
There are many on-line services purporting to sell profitable strategies combining various options types. The problem is that each option is accurately priced based on current volatility and underlying price. An iron condor profits when underlying price stays in a range. This allows the sold options to expire worthless. Are buyers generously donating free money? Alas no, the trade gives a 90% chance of profit with a 10% reward to risk ratio (i.e. zero expectancy!).
How about the mythical ‘adjustments’ which reposition legs during extreme market moves. If the overall strategy is profitable then the adjustments are solely responsible and should be traded alone (thus saving commissions). Inefficiencies are more likely to be found during extreme moves than regular times. [If readers have more data on this, please let me know].