$ Inside the "function case" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a tiny bit) On the other hand, the existence of significant autocorrelation within the return method would hint that we can easily trade applying futures/linear products on a intraday horizon which https://pnl32985.loginblogin.com/41438112/5-simple-techniques-for-pnl