“This post will detail what I did to make approx. 500k from high frequency trading from 2009 to 2010. Since I was trading completely independently and am no longer running my program I’m happy to tell all. My trading was mostly in Russel 2000 and DAX futures contracts.

The key to my success, I believe, was not in a sophisticated financial equation but rather in the overall algorithm design which tied together many simple components and used machine learning to optimize for maximum profitability. You won’t need to know any sophisticated terminology here because when I setup my program it was all based on intuition. (Andrew Ng’s amazing machine learning course was not yet available – btw if you click that link you’ll be taken to my current project: CourseTalk, a review site for MOOCs)

First, I just want to demonstrate that my success was not simply the result of luck. My program made 1000-4000 trades per day (half long, half short) and never got into positions of more than a few contracts at a time. This meant the random luck from any one particular trade averaged out pretty fast. The result was I never lost more than $2000 in one day and never had a losing month…”

http://jspauld.com/post/35126549635/how-i-made-500k-with-machine-learning-and-hft

“I’m a former high frequency trader. And following the tradition of G.H. Hardy, I feel the need to make an apology for my former profession. Not an apology in the sense of a request for forgiveness of wrongs performed, but merely an intellectual justification of a field which is often misunderstood.

In this blog post, I’ll attempt to explain the basics of how high frequency trading works and why traders attempt to improve their latency. In future blog posts, I’ll attempt to justify the social value of HFT (under some circumstances), and describe other circumstances under which it is not very useful. Eventually I’ll even put forward a policy prescription which I believe could cause HFT to focus primarily on socially valuable activities…”

http://www.chrisstucchio.com/blog/2012/hft_apology.html

“In the previous post, I explained that HFT’s usually make their money by running market making strategies. Consider a market with two market makers, Leela and Bender, as well as two speculators, Fry and Zoidberg. Fry bought shares of MomCorp one year ago when the price was $5.00 and wants to cash out. Zoidberg thinks MomCorp is a good buy and wants to get into the market…”

http://www.chrisstucchio.com/blog/2012/hft_apology2.html