[Sparrow]

Hi Frank,

good post, however very short term trading isn't everyone's favorite, good execution plays a far greater role in such strategies.
Some other problems are:
- commissions and spread have more influence if you're able to break even or not
- scalability

You'll want to have a larger position size on short term trades than on a longer term, because you won't be able to make a lot of money otherwise, which isn't a problem because your stops will be tighter.
A pension fund can't make enough money by employing such a strategy imo, markets are simply not liquid enough within a short period of time. If the fund could employ the strategy across a lot of different markets it might work though, although I doubt it.

For a retail trader what you described can be a good method to make money if it fits your trading style and you've got the execution skills if trading discretionary.