Hi.. Assume that the market is efficient and that prices move randomly. 1. For any stock, test the randomness of its price moves. There are many tests for randomness: for example, use the variance ratio test. 2. If the value of the variance ratio test indicates a nonrandom behavior of the time series, extend the time series by adding values ( future prices) that will force the variance ratio test to indicate a random walk. (revert to its expected value) 3. Try this for different timeframes and on average you get some abnormal returns. I am just thinking.. Any thought?