Noise-Area Momentum indicator
From the paper “Beat the Market” (Zarattini, Aziz & Barbon, 2024): measure how far price normally moves from the open by this time of day, and only act when it leaves that ‘noise area’.
NinjaTrader 8TradingView · coming soonAny symbol trading the NY open · tested on NQ & ESNo repainting
What it draws
- Noise band built from the average move at each minute over the last 14 sessions
- Hourly checks (10:00–15:00 ET) for a close outside the band
- Trailing stop at the band or VWAP, whichever is tighter
- Flat by the close; no overnight positions
- NinjaTrader strategy version with optional protective stop and daily-loss guard
How it works
The band's width at each minute is the 14-day average of how far price had moved from the open at that same minute.
Above the band at a check → long; below → short; inside → flat.
Good to know
- It's a trend-following rule: trending days pay for the losing choppy days, so judge it over weeks, not single sessions.
- It needs 14 complete prior sessions of 1-minute data before the first signal.
Questions
Why hourly checks instead of every 30 minutes?
Checking hourly cut about 30% of the trades and their costs while keeping the effect, so it became the default. You can change it.
Did you change the published rule?
Only the check interval. Everything else follows the paper. The paper used the S&P 500 ETF; we confirmed the rule on years of NQ and ES futures data before including it.