Hi people,
Given the recent fall of trading fees at major brokers worldwide (mainly US) the following high frequency strategy could be relevant again. Neither the strategy nor the programming was done by me (I am kind of useless!). The strategy was first proposed in this paper http://dspace.mit.edu/handle/1721.1/59122, while the algorithm was first implemented and shown in this post https://www.quantopian.com/posts/intraday-high-frequency-basket-trading-strategy (deleted user). In my opinion, the current problem with the strategy is a lack of leverage; the algorithm at the moment operates with just ~0.10x leverage. I am well aware that HTF is dominated by prop shops and it's very dependent on hardware infrastructure, but it would be nice to make a viable algorithm, at least theoretically
Impressive performance.
Unfortunately Quantopian's fill model isn't very accurate for strategies that trade actively. Also, you shouldn't disable slippage, because that will give you impossibly good fills. And you also have to pay FINRA and SEC fees no matter if your brokerage is "commission free," so you may as well leave default commissions enabled.
Here's a more pessimistic slippage model.
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