Interesting Idea. I was trying to do something similar with Binary Options through Nadex but do not have any clue of how to go about doing that. However, like you mentioned, if you Buy or Something at peaks, which -may- mean a higher chance of the security moving the way you want it. I too thought, that if I may do this enough my results may end up coming up positive. Interesting Idea! I've been messing with Currency Pairs however.

This is almost certainly just a high variance causing a randomly high result. The strategies underlying assumption, that buying one stock at a low notional price and selling another at a high price doesn't really make much sense. There may be some sort of underlying pricing effect in the market, but it would be at the margin, and you'd need a more directed strategy than this.

@ Kyle: Thanks for your comments. I would love to hear more about it, though. Let us be a bit more clear about the assumptions: given that the stocks are on the same universe, we assume that they have similar performances, i.e. each stock tends to average value within the universe. Therefore, probability theory has it that expected return is larger than zero as long as the random method is truly random. I was wondering which part you think makes no sense.

@ Taibo: Right, I agree with that assumption. That is, that randomly chosen stocks should have a similar probability distribution of returns as others within the universe. So, you're right in that, if you just randomly chose stocks, you will get the average return (on average, hah) So, this is positive in the long term, I guess I meant that you won't be seeing outsized returns.

Also, correct me if I'm wrong but I was under the understanding that this more than that strategy. This algorithm buys the lowest priced stocks, and sells the highest priced, correct?

@ Kyle: Thank you for your clarifications! I experimented with three indicators: price, volume, and active market value (price*volume), and found that the third one works the best. Probably you can also try price or volume to see if they work better in other universes or with other parameters. Yeah basically I sell the highest priced/traded and buy the lowest priced/traded with the hope that overall return is positive. Any comments?