$ In the "work circumstance" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a little) On the other hand, the existence of major autocorrelation during the return system would trace that we have the ability to trade employing futures/linear merchandise on the intraday horizon https://chanceotxac.blogsmine.com/34529351/not-known-details-about-pnl