>Well, if you want to brush everything off like that (including how you make predictive model from daily data when there's so much volatility when you actually want buy/sell) then you're clearly trying to win some type of "argument". Have at it boss.

Trade on opens. Occasionally there are gaps, but they are traditionally due to big news, almost always related to fundamentals. If you're modelling the stock market as a random walk, then you're just as likely to have volatility go for you as against you under normal market conditions.