[moeymo1]

If he can do what he claims (which as I said above is less impressive than it sounds) he can take it to a Chicago prop shop. They'll give him a budget and a share of the PnL. Very straightforward, it happens all the time.

However, his write up is completely devoid of talk of risk (beta is not risk), bankroll, Kelly sizing, etc. This is integral to understanding the trade.

For example, he could have a successful strategy that works in small lots. However, absent from nearly every ML model is the impact on sizing up. As soon as you post a sizable bid, the market will lean against you, and the edge evaporates. Same if you cross bid-ask, plus you're now giving up edge. ML cannot take this into account, at least not very easily and with the usual models.

Most programmers with models like this fall into this last category.