There are many examples of historically profitable strategies which have LESS risk, if you define risk as volatility.  (Of course volatility is not risk if you could know there will be profits after period-X, and know what capitalization it takes to survive to X) Notably various above-moving-averages (see below from prior post):

SP500 daily (1951-p).  Using the rules buy at close if at today's close 50DMA>200DMA: sell at close if  at today's close 50DMA<200DMA (and stay long while 50DMA>200DMA).  Here is comparison of mean daily returns (in market =1, out of market =0):

Two-Sample T-Test and CI: ret, 50>200

Two-sample T for ret

50>200    N         Mean      StDev      SE Mean
0              4633    0.0000     0.0121    0.00018  T=-2.15
1             10301   0.00044   0.00832   0.000082

(all positive returns for the period contained in the rule)

And the returns while in-market are significantly less volatile:

Test for Equal Variances: ret versus 50>200

95% Bonferroni confidence intervals for standard deviations

50>200     N         Lower          StDev          Upper
   0            4633    0.0118321    0.0121078   0.0123962
   1           10301   0.0081929    0.0083209   0.0084528

F-Test (normal distribution)
Test statistic = 2.12, p-value = 0.000

Levene's Test (any continuous distribution)
Test statistic = 388.07, p-value = 0.000


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