I read recently (and need to dig up the paper or website, for reference here) that if a non-US person (aka Non-Resident Alien per IRC regs, IIRC) "actively" trades on US markets (e.g. intraday), instead of being a long-term investor, (s)he is taxed as though it's in the course of a "trade or business" with nexus in the US, and hence is subject to 30% withholding instead of being assessed on capital gains, even when said person is citizen of a country which does not tax foreign-source income and no tax treaty with the U.S.