The EMH works because everybody is trying to gain money, so everybody except you trying to gain money and you trying to lose money isn't the symmetric situation. The symmetric situation is everybody trying to lose money, in which case it'd be pretty hard indeed to do so. And if everybody except you was trying to lose money and you were trying to gain money it'd be pretty easy for you to do so. I think this would also be the case in absence of taxes and transaction costs. IOW I think Viliam nailed it and other people got red herrings.