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Jilly's Noise Band
Jilly's Noise Band
OVERVIEW
Jilly's Noise Band is an intraday breakout tool. At regular checkpoints through the session it asks one question: has price moved further from today's open than it normally does by this time of day? Most of the time, intraday price wanders inside a "noise" range around the open. A close outside that range is a larger-than-usual move for that point in the session, which can signal directional imbalance (momentum). The indicator draws the range, marks breakout signals, manages a stop and tracks hypothetical results on your chart.
BASIS
The approach follows the intraday momentum "noise area" framework described by Carlo Zarattini, Andrew Aziz and Andrea Barbon in "Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)" (2024). The key idea is that the expected size of an intraday move depends on the time of day. So the boundary for a meaningful breakout should not be fixed: it widens as the session progresses, scaled by how far price actually travelled from the open at that same time on recent days. This script implements that idea with a configurable lookback, band width, checkpoint frequency, reference price and stop logic.
HOW THE BAND IS BUILT
- Anchor: the session open (the 09:30 New York bar).
- For every minute of the session, the script records how far the close is from that day's open, in percent.
- σ(t), the typical move at time t, is the average of that distance at the same minute over the previous N sessions. The current session is never included, so the band does not look ahead or repaint.
- Upper band = reference × (1 + k × σ(t)); Lower band = reference × (1 − k × σ(t)).
- Reference = today's open (default). In Gap-adjusted mode, the upper band uses the higher of the open and the prior session close and the lower band uses the lower of the two, so a gap that is simply filling back is not treated as a breakout.
- Session VWAP is anchored at the session open.
Because σ(t) grows through the day, the band starts narrow after the open and widens toward the close.
SIGNALS
Signals are evaluated only at checkpoints, on the bar close every 5, 15, 30 or 60 minutes after the open.
- Long: the checkpoint close is above the upper band (and, with the Band + VWAP, VWAP or Fixed stop modes, at or above VWAP).
- Short: the checkpoint close is below the lower band (and, with those same modes, at or below VWAP).
- Fills are shown at the open of the next bar (L / S markers), the earliest a signal can be acted on.
- One position at a time. An opposite signal reverses the position (⇄).
- Every open position is closed at 15:59. Nothing is held overnight.
STOP OPTIONS
- Band + VWAP (default): a trailing stop at the further of the band and VWAP (long: max of upper band and VWAP; short: min of lower band and VWAP), checked at checkpoints. ✕ marks the exit.
- Band: a trailing stop at the band only.
- VWAP: a trailing stop at VWAP only.
- Fixed (entry price): a fixed stop set once at the fill, at entry ∓ m × the band half-width at the signal ("Fixed stop × band deviation", default 0.5). It behaves like a resting stop order checked on every bar (SL marker) and replaces the trailing stop. Trades otherwise exit on a reversal or at 15:59.
ON-CHART TOOLS
- SL/TP boxes (fixed stop mode): a red box from entry to stop, and a green box from entry to current price while the trade is in profit. Boxes project a few bars ahead while the trade is open, are trimmed at the exit and show the trade's net result.
- Daily P&L: each session's net result is printed mid-session on the open line ("Daily: +$…"). It sits below the line on days VWAP finished above the open and above the line on days VWAP finished below. Green if positive, red if negative.
- Performance table: trades, win rate, profit factor, net P&L and max drawdown (all / long / short), plus a buy-and-hold comparison from the first trade.
- Optional: active stop line, position shading, checkpoint dots and a status table (position, band levels, stop, warm-up progress).
- Alerts: long signal, short signal, exit.
HOW TO USE
1. Apply it to an intraday chart. A 1-minute chart gives exact checkpoint and 15:59 timing. Any minute chart whose interval divides the checkpoint cadence also works (for example a 5-minute chart with 30-minute checkpoints).
2. Load enough history. The band needs N complete sessions (14 by default) before the first signal. Turn on the status table to see warm-up progress.
3. Set "Contracts" (contracts, shares or units) and "Round-trip cost per contract" to match your instrument and broker. The boxes, daily labels and table then reflect your size and costs. P&L uses the symbol's point value.
4. Choose a stop mode and checkpoint cadence. Slower cadences (30–60 minutes) trade less and filter more noise; faster cadences react sooner but trade more often.
5. Set alerts to be notified on the signal bar close. The indicator's modeled fill is the next bar's open.
6. On continuous futures, consider enabling back-adjustment when using the Gap-adjusted reference so contract rolls don't distort the prior close.
INPUTS
- Lookback N: number of prior sessions used for σ(t).
- Band multiplier k: band width in multiples of the typical move.
- Reference: Open or Gap-adjusted.
- Checkpoint cadence: 5 / 15 / 30 / 60 minutes.
- Stop: Band + VWAP, Band, VWAP or Fixed (entry price), plus "Fixed stop × band deviation".
- Display: markers, SL/TP boxes and projection, daily P&L, performance table and position, contracts, round-trip cost, VWAP, open line, shading and colors.
NOTES
- The band, checkpoints and 15:59 exit are built around the 09:30–16:00 New York session. Use it on instruments that trade during that window, such as stocks, ETFs and index futures.
- Table and label results are hypothetical. They use the indicator's modeled fills (next-bar open, stop price, 15:59 open) over the history loaded on your chart, and they do not account for real-world factors such as partial fills, queue position or data-feed differences.
- Half-day sessions are included. An open position is closed at the last bar of a shortened session.
DISCLAIMER
This script is for research and educational purposes only and is not financial advice. Past or simulated performance does not guarantee future results. Test it on your own instruments and settings before relying on it.
OVERVIEW
Jilly's Noise Band is an intraday breakout tool. At regular checkpoints through the session it asks one question: has price moved further from today's open than it normally does by this time of day? Most of the time, intraday price wanders inside a "noise" range around the open. A close outside that range is a larger-than-usual move for that point in the session, which can signal directional imbalance (momentum). The indicator draws the range, marks breakout signals, manages a stop and tracks hypothetical results on your chart.
BASIS
The approach follows the intraday momentum "noise area" framework described by Carlo Zarattini, Andrew Aziz and Andrea Barbon in "Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)" (2024). The key idea is that the expected size of an intraday move depends on the time of day. So the boundary for a meaningful breakout should not be fixed: it widens as the session progresses, scaled by how far price actually travelled from the open at that same time on recent days. This script implements that idea with a configurable lookback, band width, checkpoint frequency, reference price and stop logic.
HOW THE BAND IS BUILT
- Anchor: the session open (the 09:30 New York bar).
- For every minute of the session, the script records how far the close is from that day's open, in percent.
- σ(t), the typical move at time t, is the average of that distance at the same minute over the previous N sessions. The current session is never included, so the band does not look ahead or repaint.
- Upper band = reference × (1 + k × σ(t)); Lower band = reference × (1 − k × σ(t)).
- Reference = today's open (default). In Gap-adjusted mode, the upper band uses the higher of the open and the prior session close and the lower band uses the lower of the two, so a gap that is simply filling back is not treated as a breakout.
- Session VWAP is anchored at the session open.
Because σ(t) grows through the day, the band starts narrow after the open and widens toward the close.
SIGNALS
Signals are evaluated only at checkpoints, on the bar close every 5, 15, 30 or 60 minutes after the open.
- Long: the checkpoint close is above the upper band (and, with the Band + VWAP, VWAP or Fixed stop modes, at or above VWAP).
- Short: the checkpoint close is below the lower band (and, with those same modes, at or below VWAP).
- Fills are shown at the open of the next bar (L / S markers), the earliest a signal can be acted on.
- One position at a time. An opposite signal reverses the position (⇄).
- Every open position is closed at 15:59. Nothing is held overnight.
STOP OPTIONS
- Band + VWAP (default): a trailing stop at the further of the band and VWAP (long: max of upper band and VWAP; short: min of lower band and VWAP), checked at checkpoints. ✕ marks the exit.
- Band: a trailing stop at the band only.
- VWAP: a trailing stop at VWAP only.
- Fixed (entry price): a fixed stop set once at the fill, at entry ∓ m × the band half-width at the signal ("Fixed stop × band deviation", default 0.5). It behaves like a resting stop order checked on every bar (SL marker) and replaces the trailing stop. Trades otherwise exit on a reversal or at 15:59.
ON-CHART TOOLS
- SL/TP boxes (fixed stop mode): a red box from entry to stop, and a green box from entry to current price while the trade is in profit. Boxes project a few bars ahead while the trade is open, are trimmed at the exit and show the trade's net result.
- Daily P&L: each session's net result is printed mid-session on the open line ("Daily: +$…"). It sits below the line on days VWAP finished above the open and above the line on days VWAP finished below. Green if positive, red if negative.
- Performance table: trades, win rate, profit factor, net P&L and max drawdown (all / long / short), plus a buy-and-hold comparison from the first trade.
- Optional: active stop line, position shading, checkpoint dots and a status table (position, band levels, stop, warm-up progress).
- Alerts: long signal, short signal, exit.
HOW TO USE
1. Apply it to an intraday chart. A 1-minute chart gives exact checkpoint and 15:59 timing. Any minute chart whose interval divides the checkpoint cadence also works (for example a 5-minute chart with 30-minute checkpoints).
2. Load enough history. The band needs N complete sessions (14 by default) before the first signal. Turn on the status table to see warm-up progress.
3. Set "Contracts" (contracts, shares or units) and "Round-trip cost per contract" to match your instrument and broker. The boxes, daily labels and table then reflect your size and costs. P&L uses the symbol's point value.
4. Choose a stop mode and checkpoint cadence. Slower cadences (30–60 minutes) trade less and filter more noise; faster cadences react sooner but trade more often.
5. Set alerts to be notified on the signal bar close. The indicator's modeled fill is the next bar's open.
6. On continuous futures, consider enabling back-adjustment when using the Gap-adjusted reference so contract rolls don't distort the prior close.
INPUTS
- Lookback N: number of prior sessions used for σ(t).
- Band multiplier k: band width in multiples of the typical move.
- Reference: Open or Gap-adjusted.
- Checkpoint cadence: 5 / 15 / 30 / 60 minutes.
- Stop: Band + VWAP, Band, VWAP or Fixed (entry price), plus "Fixed stop × band deviation".
- Display: markers, SL/TP boxes and projection, daily P&L, performance table and position, contracts, round-trip cost, VWAP, open line, shading and colors.
NOTES
- The band, checkpoints and 15:59 exit are built around the 09:30–16:00 New York session. Use it on instruments that trade during that window, such as stocks, ETFs and index futures.
- Table and label results are hypothetical. They use the indicator's modeled fills (next-bar open, stop price, 15:59 open) over the history loaded on your chart, and they do not account for real-world factors such as partial fills, queue position or data-feed differences.
- Half-day sessions are included. An open position is closed at the last bar of a shortened session.
DISCLAIMER
This script is for research and educational purposes only and is not financial advice. Past or simulated performance does not guarantee future results. Test it on your own instruments and settings before relying on it.
Informacje o Wersji
- Fixed (band): a fixed stop set at the signal, at the band minus m × the band half-width for longs (plus for shorts), using the same "Fixed stop × band deviation" input. Signals whose stop would already be beyond the signal close are skipped. Otherwise it behaves like Fixed (entry price).Informacje o Wersji
- Trailing stop check (trailing modes only): Checkpoints, 15 min or 5 min. At 15 or 5 min the trailing stop is also checked on every 15- or 5-minute bar close, exiting at the next bar's open, while entries stay on the checkpoints.Informacje o Wersji
Updated credit to original authors. I am not in anyway affiliated with authors of "noise band" concept.Informacje o Wersji
• [Update] Performance table: P&L now also shown separately for longs and shorts.• [New] Performance table: Expectancy row in the performance table, shown above P&L for all trades, longs and shorts. It is the average net result per closed trade after costs: green when positive, red when negative.
Informacje o Wersji
• [Update] Status Table: Removed the status table (position / bands / stop); the performance table covers what is needed.Informacje o Wersji
[Update] Session: the session input now sets the start, the length and the flat time (overnight sessions supported). Previously the 09:30 start and the 6.5-hour length were fixed, so other hours stopped all signals. Open trades now close at the session end. At the default 09:30–16:00 this means a 16:00 flat instead of the 15:59 bar open; set 0930-1559 for the previous behavior. Credit Redditor: benwick0815Informacje o Wersji
• The fixed stop multiple is now split into two inputs, long and short ("Fixed stop × band deviation long / short", step 0.05). Both Fixed modes use them: Fixed (band) and Fixed (entry price).• Session vs exit: the Session input (default 09:30–16:00) now defines the market day, and its close is the prior close for the gap-adjusted reference. A new "Exit trade" time in the Trading section (default 15:45, up to 17:00) sets when open trades are closed. It can be before or after the session end. Credit Redditor: ATAalgotradealertATA
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Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.