Xiznit Noise Band Momentum — Strategy by Xiznit
By Xiznit
Performance Metrics
- Author: Xiznit
- Symbol: CME_MINI:MNQ1!
- Timeframe: 5 minutes
Description
Xiznit Noise Band Momentum WHAT IT DOESAn intraday momentum strategy for index futures, designed for MNQ; it runs on any 1, 2, 3, 5, 6, 10, 15 or 30-minute chart (signals are evaluated on a fixed time grid, so results are nearly identical across these; lower timeframes give the most precise stop/target fills). It trades only during the regular session (09:30–16:00 New York time) and is always flat before the close.HOW IT WORKS1. Noise band. Each session, the script measures how far price has moved from the RTH open at every bar-sized time slot of the session, and averages that move over the last 14 sessions for the same slot. That average defines a "noise band" around the larger and smaller of today's open and yesterday's RTH close. Moves inside the band are treated as normal intraday noise.2. Entries. On bars that close on a fixed grid (every 30 minutes from 10:00 to 15:00 by default), a close above the upper band is a long signal and a close below the lower band is a short signal. Longs are only taken when price is above the simple average of the last 20 RTH closes; shorts only when below it.3. Exits. Each trade has a take profit and stop loss sized as a fraction of the 14-session daily ATR (0.08x and 0.15x by default). On each check bar a long is also closed if price falls back below the upper band or RTH VWAP, whichever is higher (mirror logic for shorts). Everything is closed at the close of the bar ending at 15:55. After a take profit, a new entry is allowed on the next check bar if the signal is still valid, up to 12 entries per day.The idea of trading breakouts from a time-of-day noise area is based on published intraday momentum research (Zarattini, Aziz and Barbon, 2024). The daily trend filter, ATR-scaled targets and re-entry logic are this script's own.On US holiday half-day sessions (MLK, Presidents, Memorial, Juneteenth, July 3/4, Labor, Thanksgiving and the day after, Christmas Eve) there are no entries after 11:00 and the position is closed by 11:25, so nothing is carried past the early close.PRESETS"Auto (by symbol)" (default): uses "MNQ Prop Safe" on MNQ/NQ charts. On symbols without a validated preset the strategy shows a notice in the info table and does not trade. Walk-forward testing on MES, MYM, MGC and MCL did not find a robust edge for this logic, so no presets are provided for them."MNQ Prop Safe": 30-minute checks, TP 0.08x / SL 0.15x daily ATR."MNQ Higher Output": 15-minute checks, 20-session lookback, TP 0.10x / SL 0.15x."Custom": unlocks every signal and exit input plus the session start/end times, on any symbol.NON-REPAINTINGAll logic runs on confirmed bar closes. No request.security() calls, no lookahead, no future data. Orders fill on the next bar's open.STRATEGY PROPERTIES USEDInitial capital $50,000, 1 contract per trade, commission $0.75 per contract per side, 1 tick slippage, no pyramiding. At default settings a stop-loss averages roughly 0.5% of initial capital. Margin is set to 0 so futures positions are not rejected by the cash-margin check.INPUTSNoise band multiplier, lookback and check interval; daily trend filter length; take profit and stop loss in daily-ATR multiples; session start/end (Custom), first check / last entry / flatten offsets from the session, max entries per day; contracts; automation ticker and whether SL/TP are sent in the entry payload.AUTOMATIONEntry alerts send {"ticker","action":"buy"|"sell","price","qty","sl","tp1","tp1_qty"}. All exits send {"ticker","action":"exit"}. Create one alert with "Order fills only" and the message {{strategy.order.alert_message}}.NOTESThe script needs about 20 RTH sessions of history before the first trade. It stops with an error on timeframes that do not divide 30 minutes. Past performance does not guarantee future results.