There are lots of ways to produce an edge. Forex is slightly different because you are trading a currency (this actually makes things easier in some ways) but, a few years ago, a lot of the cutting edge was news releases.
So inflation comes out at X% and then you try to jump ahead of other people reacting to the news.
Speaking very generally, you are looking for data that has information about future returns. So this may include past values of the time series (this is kind of complex though because a stock price does trend, that company is investing capital to earn a return which compounds in the price so stationarity is...complex) but may include other time series/their past values i.e. price of other stocks, economic data, etc.
So this could be responding to changes in liquidity, it could be seeing some repeatable behaviour by investors and jumping ahead of it, etc.
Quant is not about adding to the efficiency of markets though. They aren't using these models to determine the value of something, they are more about looking at the value of other things to determine the value of a given asset. So these strategies end up being correlated to liquidity in a lot of instances (but not all). This is a generalisation but...it is a very odd thing to have occurring in society...would this exist if investors didn't have an irrational demand for microsecond liquidity? Probably not.
Also, determining whether something is a real signal is just part of statistics, isn't it? This has definitely been an area where there has been quite a lot of innovation as increases in computational power has made non-parametric stuff more feasible (I am not an expert on this, it is just my understanding).
Btw, I should add I used to work in finance and I have some experience with this kind of thing as I do quite a bit of "quant investing" but in gambling (it is far easier to just copy what people do in finance and apply it to gambling then come up with it yourself). And just based on my experience, it makes most sense to employ a mixed approach. So learn about the business valuation, and then build a five-factor model...watch what it does, and then filter its picks with your knowledge. A lot of quant strategies are vaguely ludicrous if you have an understanding of the fundamentals of investing, like you are trying to use a computer to replicate a human...and people wonder why it doesn't work? It is an overcomplicated shortcut (to give you a concrete example, the blowup of value and funds like AQR was very obvious...you just had to look at the utter garbage stocks they owned). So I think a combination of human and computer beats either separately (one fund that does is Marshall Wace).