Noise-area momentum

Build a band around the open from the average move at each minute over the last 14 days. Trade only when price leaves the band and is on the same side of VWAP; otherwise stay flat.

Markets: MNQ (lead), MES, MYM, M2K, MGC and 7 more
Scope: Zarattini, Aziz and Barbon (2024) rule · frozen tests 2021 to 2026

Where it stands

IdeaRule written down
BacktestedRun after costs
Last-year pickSettings picked in-sample
Forward testingLogged on new data, rules frozen

What was tested

The published rule, unchanged, on MNQ (with MES as a control).
The same rule on the other index micros, on Tokyo and London sessions, and on seven more markets.

Status

Research · in forward testing

Research note. Results from this study are not published as a strategy. Any version of it requires forward testing before real-money use.

Research notes for education only. Not financial advice, not a recommendation and not a signal. No strategy on this site has passed final validation. Futures trading involves substantial risk of loss. See the method for how every test is run and judged.