I have written some HFT algorithmic trading software in python in the past. It did in fact work, but protecting the downside (ie. margin of safety) was impossible as with all speculation. This has caused me to be greatly aligned mentally with the value investing philosophy. I have continued to write new code to continuously screen all US company stocks for possible value investing candidates. But as said above, value investing requires many offline research and financial investigations beyond simple statement screenings.
This has brought me to this point, a point I throw out there for peer review.
Once a value investment is found using "standard" or "traditional" value investing criteria, could a HFT'er not then use this stock's "margin of safety" to protect downside HFT's that fail? Say if 75% of your portfolio is a long value bet, couldn't 25% be used to capture HF volatility safely in the same stock by simply taking wins and converting losses to your long position side. This could be done until losses result in 100% long positioning or stock moves upwards towards its intrinsic value squeezing out any safety margin, effectively halting HFTing.
Please offer any thoughts.
Submitted January 12, 2020 at 10:05PM by shawnleveridge https://ift.tt/2tR2Pfq
