The system is nonlinear, chaotic, and the data have noise. The challenges are nicely summarized in the Insight Inc’s Dynamics References.
Thus, it is not obvious what sort of model will produce steady, growing returns.For physical nonlinear systems, such as weather data, the “input” values are based on physics.
For price data, it is not obvious what “inputs” move the prices around.

The challenge is special because, technically, each individual security
has its own personality, and because the ownership/control issues preclude
large-scale collaboration.

Meanwhile …

Hedge funds keep failing to deliver on what they’re selling: …
From Bloomberg, April 25, 2019, 6:30 AM EDT   By Barry Ritholtz

Meanwhile, …
Some organizations are encouraging development of trading algorithms by
freelance quantitative analysts from around the world, etc., such as
Numerai, Quantopian, QuantConnect, and WorldQuant.

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