$ During the "do the job circumstance" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation somewhat) On the other hand, the existence of sizeable autocorrelation in the return procedure would hint that we have the ability to trade making use of futures/linear solutions https://pnl10987.blogchaat.com/34158198/the-smart-trick-of-pnl-that-no-one-is-discussing