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Originally Posted by Peterw  That sounds like smart trading from someone who knows what they're doing 
If only I could be bothered to do a number crunching exercise to show just how utterly ridiculous this trading theory is.... |
It's basically a reverse lottery - it appears to generate profits most of the time, and then blows up spectacularly the one time you buy at a maxima and can't get out. Just the risk:reward ratio should tell you not to trade it before even worrying about what the expectation is.
Interestingly, you'll sometimes see major institutions engaging in this sort of behavior. Their bonus plans incentivize it. But they frequently take big losses doing it - lots of macro desks have taken a beating on the anything/JPY carry trade over the years.