> I'm skeptical for two reasons. (1) because your methods are so unconventional in an industry where convention rules, and (2) because of the time frame of your success,
I was also in this business, and there's nothing unconventional about his methods. It would, in fact, closely describe the methods of more than one shop I'm familiar with. (Except they WERE able to overcome the declines). And the 3-6 month indicator lifetime looks eerily familiar.
And these places are anything but "convention rules" - it's "creativity rules, before our competitors get creative enough".
> When someone shows me strategies that worked in 2009 and 2010, I immediately make them prove their strategy was not the equivalent of being long equities.
Assuming the OP is telling the truth, there is no equivalent "long equities" strategy that would make 1500% profit over 6 months (%3000 annualized), with a max drawdown of 20% ($2000 on $10000 - but his max drawdown was probably closer to 5% than to 20%). You are welcome to demonstrate that there is.
Sounds to me like you are doing low frequency strategies; it's a completely different ballgame than HFT. He's done 400,000 trades, half of them long, half of them short. It might have been luck, and he might have been riding something underlying the equities, but this is NOT equivalent to being long equities. He might have found a way to get non-linear leverage (rather than prediction). But that's also worth a lot of money in the right hands.
> buy 10 RUT futures at the beginning of the day, sell 10 at the end, and just scratch 1 lots for the other 998 trades. In a bull market like 09-10, that would have made 400k, and would have nothing to do with Machine Learning or its applications to HFT.
That may be (I wasn't trading in 2009-2010, and don't remember the movements or the required margins), but that would have had much higher volatility (and days with much more than $2000 loss) than the OP had. (Assuming, of course, he is telling the truth)