A simple example demonstrating this isn't true in most markets is A buys a stock for $50 a share, sells it to B for $60, who, after a period of time, sells it to C for $70. This is essentially the theory behind investing long term in stocks, that over time they will grow with the economy and inflation.

However, your question does hold true, I believe, in commodity and currency markets because for every long positions there is an exactly offsetting short position, thus a zero sum game, ignoring commissions. If the long position gains $2 a unit, the short position loses $2 a unit, and vice versus.

I think Dave can tell us whether this is 100% true in these markets.

Terrific site, more information in one place than I've found anywhere else.