TraderFeed: What Proportion of Daytraders Actually Makes Money? (
The authors conclude that "there is clear performance persistence." The very top traders who make money net of fees tend to continue to make money going forward. The traders who lose money tend to continue losing money.
Here is the most important conclusion, however:
"In the average year, 360,000 individuals engage in day trading. While about 13% earn profits net of fees in the typical year, the results of our analysis suggest that less than 1% of day traders (less than 1,000 out of 360,000) are able to outperform consistently." (p. 15).
In other words, 87% of day traders in a given year lose money after fees are taken into account. About .28%--one in 360--is able to make money after fees year over year.
To be sure, that small group of very successful day traders earns a significant return. After expenses, they average +28 bps per day. Compare that to the 350,000 out of 360,000 daytraders who average a daily loss of 5.7 bps per day after expenses.
The authors conclude that day trading skill genuinely exists. They also conclude that it is very, very rare.