Pls do not follow the advice of the OP. I started a hedgefund in 2004 doing HF platform arbitrage and ran it for 5yrs and i can honestly tell you that this is just survivorship bias. This is a very complex field and being off slightly, having a slight bias, a fraction of a point off your execution pricing and a slightly flawed money management system is recipe for disaster.

The biggest issue is the confusion that you can apply machine learning to HF trading. HF trading sub 15min mark is more about playing the deal flow, and only the institutions have an edge on this. This is why goldman had to separate the buy and sell sides in the early 2000's. Above 15mins you are able to find an edge using time series analyses since the market is scaling invariant according to Benoit Mandelbrot and this does not apply to dealflow. Also having access to dealflow allows you to predict volatilty seconds ahead which allows you decrease your risk and increase you reward as well as handle your costs since the volatility will impact your transaction costs even if transaction costs themselves stay the same. There is just so much stuff to cover that a comment will not do justice in explaining what is wrong with this guys logic.