The problem with pure research in this field is that your decisions will influence the market. How much you invest will influence your returns and how successful you are will influence the behaviour of others in the future.
Which is actually why you shouldn't invest based on this algorithm if you care about the research. I think, ideally, you should:
1) Generate a few hypothesis algorithms, including one that invests at random.
2) Publish a cryptographic commitment for each algorithm.
3) Never actually invest any money. Alternatively: let someone else invest your money for you, without knowledge of your hypotheses.
4) Run your algorithms privately, without updating them at all. Capture the data the algorithms use (including random choices taken).
5) 5, 10 or 20 years later, publish all your algorithms, the data they had as input and their results, see if any of them would have predicted the actual performance of the market in an statistically meaningful way.
I imagine the main reason most researchers are unlikely to do that is the 5-20 years project requirement. It is a lot easier and faster to just take historical data from the market and then produce algorithms that would have predicted performance after year X, based on information before year X. Of course, the problem is that you run into over-fitting and survivor bias (in that only positive results are generally published).
Btw, having your algorithm be run by a fund and having that fund succeed, then publishing the algorithm, would also be susceptible to survivor bias.
This only works under the assumption that your activity would have had absolutely no impact on the market. The real world is complex and interconnected, and everyone is monitoring each other closely.
I believe that the post you were responding to was noting that you can't do pure research, because the results of the trading strategy actually being executed will influence the market. The pure research cannot determine how trading with that strategy will cause the market to react. Over time, the strategy will change the market more and more (if it's successful) which will change it's efficacy.
