$ Within the "operate scenario" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a little bit) Nonetheless, the existence of substantial autocorrelation within the return procedure would hint that we have the ability to trade making use of futures/linear items over a intraday https://pnl90988.mpeblog.com/59707376/the-definitive-guide-to-pnl