NUMEX Noise Area Momentum
Intraday momentum on ES/MES: enter when price leaves its usual noise area, trailing stop, flat before the close.
- Type
- Strategies
- Market
- ES
- Platform
- NinjaTrader 8
- Deliverable
- .cs file or compiled export
Logic
Noise Area Momentum follows the intraday momentum approach described by Zarattini, Aziz and Barbon (2024), adapted to ES and MES futures. Every minute of the session has its own noise area: how far price usually travels from the open at that time of day, measured over previous sessions. The area is anchored on the open and the prior close.
While price stays inside the area, the strategy does nothing. At each checkpoint, a close above it opens a long and a close below it opens a short. The exit follows a trailing stop, whichever of the band or VWAP is more protective, checked at the same checkpoints. If price crosses the whole area, the position reverses.
For a prop firm account, size is a fixed number of contracts, a catastrophe stop stays active at all times, and a maximum daily loss and daily entry count frame the risk. The position is always closed before the session ends. Half days and incomplete sessions are not traded. Use it on 1-minute bars with RTH trading hours.
Features
- Noise area computed minute by minute over recent sessions
- Checks every 30 minutes from 10:00 ET
- Long above the area, short below, reversal when it is crossed
- Trailing stop between the band and VWAP
- Catastrophe stop, max daily loss and max entries per day
- Always flat before the close, no trading on half days
Parameters
- History sessions (default 14)
- Area multiplier (default 1.0)
- Check interval (default 30 min), first check 30 min after the open
- Forced flat (default 385 min after the open, i.e. 15:55 ET)
- Contracts (default 1)
- Catastrophe stop (default 60 ticks)
- Max daily loss (default $1,000), max entries per day (default 4)
Screenshots
Futures trading involves a risk of capital loss. Our tools are decision-support software, not investment advice. Past performance is not indicative of future results.