There are lots of ways to tweak Colby's strategy, such as dialing back on trading frequency and restricting the list to North American stocks or certain industry groups.

FORBES: Surfin' ETFs

Quill said some firms are turning to cross-asset trading because the high frequency trading (HFT) business is now dominated by ultra high frequency trading firms whose massive investments in sophisticated hardware like FPGAs has made it difficult for smaller players to compete.

FORBES: Chicago's Sun Trading Consolidates Asset Classes on Kx

The Securities and Exchange Commission has been studying a number of proposals that would put an extra burden on firms engaged in high frequency trading strategies or on firms assisting other firms with high frequency trading.

FORBES: Regulator Takes Aim at High Frequency Traders