Even my brokerage is against me. My cash account, held at iZone by Ameritrade (NASDAQ:AMTD), started posting a gag-inducing, not-so-subtle front-page ad recently. It features contrived photos of alleged average Joes -- and Janes -- and dishes out pithy, purported quotes about their exciting, busy lifestyles, followed by the tagline "Live for the trade."

Ack.

Do these people think we're that easy to dupe? By now, if you've spent any time here at all, you should know that we consider this "trading" game to be a contest that you are not at all likely to win. There's plenty of research to show that flipping in and out of stocks will lead to underperformance, and we've long held that even a simpleton can do better by buying right and holding tight.

That's because the expensive, day-to-day Pokemon tournament that is active trading isn't designed to enrich you. It's designed to enrich Wall Street. Remember, Ameritrade and the rest of the discount-broker crew, including TorontoDominion's (NYSE:TD) TD Waterhouse, E*Trade (NYSE:ET), and Charles Schwab (NYSE:SCH), have been running a very strange courtship ritual to make up for their sagging trade volumes.

But the conspiracy goes further than this. Yes, conspiracy. I'm getting all X-Files here because this really is a vast secret agreement, which isn't to say it's necessarily intentional or evil (though it sometimes is). I'm talking about the fact that everyone knows there's something rotten in Wall Street. But very few are willing to talk about it, because doing so might earn those analysts, fund managers, and brokerage bigwigs fewer Porsches and potato-patch executive estates out in the Hamptons.

Well, we're happy to remind you. Let the record show that an overactive portfolio will bite you right in the wallet -- and if you carry yours where I carry mine, you don't want that.

The brokerages make money on all of those commissions, the market makers (which are sometimes the same brokerage) make more on the spread, Unkie Sam makes more bucks on your gains, and you -- well, you are likely to miss out on gains, because the truth is, you don't have a crystal ball. And if you did, it wouldn't be as quick or accurate as Big Money's.

Ask those of us who sold our Chico's FAS (NYSE:CHS) in anticipation of the usual spring slide that didn't materialize. Oops. Left 50% on the table for no reason other than that I was trying to be clever. Ask those analysts who told us to trade out of Abercrombie & Fitch (NYSE:ANF), or Urban Outfitters (NASDAQ:URBN), on the faulty assumption that sales would dry up these days.

Now that the "market," that mythical beast, has posted a couple of winning weeks, you should really watch your wallet. Jim Cramer is going to be screaming even louder. You may have to endure trading tips from your bag boy again, as all the aspiring playas begin jumping in with both feet, trying to guess what the next guy's going to do in the next 10 minutes.

Just remember: The best way to win the trading game is not to play it.

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Seth Jayson buys a lot of stocks, and he's reviewed the math: He'd be better off if he'd never sold a single one, ever. At the time of publication, he had positions in no firm mentioned here. View his stock holdings and Fool profile here. Fool rules are here.