They did say it didn't work. The overwhelming majority of finance stuff in published work doesn't work, because they're either too simplistic, poorly backtested, or they get exploited too quickly, so beating those doesn't imply you can run a hedge fund.

The main part here is that it's one thing to predict price action, it's another thing to trade profitably - and in particular they were not able to beat fees, which is a common hurdle if you're new to HFT.