You make an argument that I think a lot of people make implicitly and that I think is worth refuting. The argument is this: "The fact that HFT firms make money

You make an argument that I think a lot of people make implicitly and that I think is worth refuting. The argument is this: "The fact that HFT firms make money 300+ days in a row, means they are not really running any risk (and probably an indication they are up to no good)". What is actually going on is simply that HFT firms tend to make a lot of small uncorrelated bets on the market, each of which has a pretty unimpressive winning percentage. If you make money on 51% of trades, and make one trade per day you'll have a losing day roughly every other day. If you make 100 trades per day it will be much rarer that you have a losing day, and if you make 1000000 trades it will almost never happen. This is simply the law of large numbers, as you increase the number of samples the realized return will converge to the expected return (which is positive), far from statistically impossible.