Upvoted because your reservations are probably echoed by many.

I happen to disagree. I don't think this statement is true.

I'd like to change your mind specifically when it comes to "playing the stock market" for excess returns. My full statement is "There is no alpha (risk adjusted excess returns), at least not for you". This reflects my belief that while alpha is certainly measurable and some entities may achieve long term alpha, for most people this will not happen and will be a waste of time and money.

First, there are many more financial markets than the stock market. Second, how do you know that stock markets are efficient?

First, OP mentions stock market I'm not particularly picking on it. Second, for all intents and purposes for the individual, it is. Think about it this way, instead of saying whether or not the stock market is efficient, like it's binary, lets just ask how efficient it is. In the set of all markets, is the stock market among the most efficient markets that exist? I would see no reason why it wouldn't be. Have you ever played poker with 9 others of the best players in the world? Chances are you haven't, because they aren't likely to be part of your local game, but the stock market is easy to enter and anyone one may participate. While you sit there analyzing your latest buy low and sell high strategy, you are playing against top tier mathematicians and computer engineers synergistically working with each other with the backing of institutions. A lone but very smart and rational thinking programmer isn't likely to win. Why would you choose to make that the playground for you to test your predictions skills? There are better places, like prediction book.

That seems to be a bald assertion with no evidence to back it up, especially given that we haven't specified what kind of trading we are talking about.

Even dirt cheap discount brokers charge about $5 a trade, but if you were something of a professional then you could join a prop firm and get even cheaper maybe .005 per share. But now you have the problem of maintaining volume of trades in order to keep that rate. If you are a buy and holder you would still need to diversify and balance your portfolio with transaction trades, 1. To prove you statistically did better than the market rather than variance. 2. Prevent individual stock risk. If you have a strategy of anything other than a buy and hold strategy you will incur more trading costs.

The biggest players have their own set of incentives and limitations

Any incentives and limitations that big players have are more adverse for the individual. Strategies that are ignored by the truly big players are picked up by the countless mutual fund managers that year after year try to beat the market yet the majority don't what makes an individual think they could do better?

I don't see how that implies it. Riskless arbitrage, in any case, does not require any predictive skills given that it's arbitrage and riskless.

I should rephrase, when I say arbitrage I mean statistical arbitrage. But strong stat arb might as well be just as good as riskless if you truly have an edge. Assume you have a measured alpha of a significant degree and probability. One would essentially be orchestrating a "risk-free" arbitrage by simply applying your alpha producing strategy and simultaneously shorting S&P etf's to create a stat arbitrage. But that doesn't happen commonly, because free lunches are quick and leave none for you. Strategies by nature are ephemeral, they last until rational agents exploit it until there is nothing left. For example there used to be a strategy where monitoring the monthly reported cash in flows to mutual funds could predict upward movement in equity markets. The idea is that with lots of cash, fund managers start to buy. This was exploited until this strategy no longer produces a measurable edge. Unless you have reason to think that you will discover a neat unexploited strategy, you shouldn't play the stock market, just buy etfs.

I have personal experience in this industry and I think I only know one person that has been able to pull it off and is not lying about it. His experience is consistent with my beliefs that the stock market is getting more efficient. His earnings were the greatest during the earlier part of his career and has been steadily declining.