This strategy is outlined in Didier Sornette's book, "Why Stock Markets Crash". It tries to exploit return correlations at very short (minute) intervals. I was thinking it could potentially be improved upon. I am a little skeptical if it would ever be profitable with transaction costs and slippage. However, it is fun to see how return correlations exist.
Please visit my stack exchange post for a rundown of how I am calculating m_t or to see an overview of the strategy.
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