Noise Area Breakout Backtest: ES Futures, Asia, London and New York

00The verdict in three lines

• The "noise area" breakout comes from a 2024 paper by Zarattini, Aziz and Barbon, tested there on the S&P 500 ETF: for every minute of the session, average how far price usually moves from the open at that time of day over the last 14 days; that range around the open is the noise area. Buy when price closes above it, sell short when it closes below, check every 30 minutes, trail the stop at the band or the VWAP, and close everything at the end of the session. We tested the entry and exit unchanged, one contract at a time (no leverage, no position sizing), on E-mini S&P 500 futures (ES) in the Asia, London and New York sessions, with the rules, costs, gates and a control fixed in advance.
• None of the six variants passed. The New York session came closest: +$38,508 over 1,546 trades for the long-and-short version and above the control (percentile 97.8), but a development t-statistic of 1.91 (2.5 needed) and a losing holdout (-$25,692). Asia lost a little, London a lot.
• The same rule on NQ did pass in the New York session (read the NQ post). On ES it did not; with one market passing and one not, the NQ result needs new data before anyone should trust it.

01The rule

Noise area: for each checkpoint m minutes after the session open, sigma is the average of |price at m ÷ open - 1| over the previous 14 sessions. The upper band is the higher of today's open and the previous session's close, times (1 + sigma); the lower band is the lower of the two, times (1 - sigma). Checkpoints every 30 minutes from 30 minutes after the open, up to 30 minutes before the close; decisions use the close of the checkpoint minute and orders fill at the open of the next minute. Entry: above the upper band buy, below the lower band sell short (no shorts in the long-only versions). Exit: a long is closed when price closes below the higher of the upper band and the VWAP of the session, a short when it closes above the lower of the lower band and the VWAP; after such an exit the same checkpoint may open the opposite position; everything is closed at the session close. Sessions: Asia (09:00 to 15:00 Tokyo); London (08:00 to 16:30 London); New York (09:30 to 16:00), each tested on its own; New York also follows the exchange's early closes.

Six variants: NA-ES-AS-LS, NA-ES-AS-L, NA-ES-LD-LS, NA-ES-LD-L, NA-ES-NY-LS, NA-ES-NY-L. With the same six on the two other markets, eighteen variants were tried, so the protocol requires a development t-statistic of 2.5.

02Data and costs

E-mini S&P 500 futures (ES), NinjaTrader's back-adjusted 1-minute history with contract volume, January 2020 to 25 September 2026. The bands are ratios to price, and back-adjustment shifts older prices by constants, which changes the band width by a few percent at most. Periods: development 2020 to 2023, validation January 2024 to March 2025, holdout April 2025 to September 2026. These periods are not new: the same file and years were used by earlier tests, so the holdout is reported as already used. Costs: $30.76 a round trip; a flip pays two. Engine check: na_selftest.js checked the Asia and London session times against the time zone database on every weekday from 2004 to 2026, hand-built sessions (sigma, both bands, a long, a short, the stop, a flip, the session close, an early close), and all eighteen variants trade by trade against an independent re-implementation (na_selftest_result.txt).

03Results

Results in dollars per contract. The 95% range is the Wilson interval for the win rate. The drawdown is on closed trades; every position is closed by the end of its session.

Cumulative net result by month, long-and-short versions. * Holdout already used before this test.

By period

04New York by year

05Longs, shorts and the best trades

06Is it the breakout or the market?

The benchmark is a moved-entry control: each session's first entry (its checkpoint and direction) is moved, with all sessions together, by one random offset of at least 5% of the sessions; on the new day the position opens at the same checkpoint in the same direction and is then managed by the same exit rule and costs. 500 runs with fixed seeds; the bar is the 95th percentile of the average net result per trade. It asks whether leaving the noise area picks better days than the same entries placed on other days.

07The gates

08Verdict by variant

Not tested: other markets, position sizing and leverage, other checkpoint intervals, live fills.

TWhat this shows, and what to take into your own tests

What the results show

• None of the six variants passed; New York came closest but missed the development t-statistic and lost in the holdout.
• Asia lost a little and London a lot.
• The same rule did pass on NQ in New York, which makes ES the first check that NQ result failed to clear.

What remains unknown

• Other markets and the paper's own market, the S&P 500 ETF.
• Position sizing and leverage, which we did not use.
• Other entry rules, such as checking every 15 minutes.

Why it failed

In New York the rule earned before and after costs, but not steadily enough: a development t-statistic of 1.91 and a losing holdout. In Asia and London breaking out of the noise area did not lead to moves large enough to pay for the false breaks.

What you can apply to your own tests

• Test each session on its own: the same rule can earn in one and lose in another.
• Beating a random control is not enough; the result has to clear its costs too.
• Try a promising rule on a second market before trusting it.

A note on the numbers: drawdown figures are measured on closed trades unless a table says it includes open losses. Open losses inside a trade are not counted in a closed-trade drawdown, so real account risk is higher, especially for systems with no stop. Backtests are not live trading.

FAQCommon questions

Does the noise area breakout work on ES futures?

Not in our test. In the New York session the long-and-short version ended at +$38,508 per contract after costs and failed the protocol's gates; the Asia and London sessions did not do better.

What is the noise area?

For every time of day, the average distance price has moved from the session open over the last 14 sessions. Around today's open (or yesterday's close, whichever is further) that distance draws an upper and a lower band; a breakout beyond a band is the entry signal, as published by Zarattini, Aziz and Barbon in 2024.

How was the noise area breakout tested?

On ES futures 1-minute data in three sessions, one contract per trade, with rules written and dated before the data was run, costs included on every trade, results split into development, validation and holdout periods, a random-entry control as the benchmark, and every variant reported. Read the protocol.

09Check our arithmetic

Code provenance: our own code, written from the rule as published in the paper. No third-party source code is used or published.

10Data notes

Holes. Removing the sessions that touch a known hole in the data changes no verdict:

Back-adjustment. The bands are ratios to price; back-adjusted older prices shift those ratios by a few percent at most. The trades, entries and exits are on the real minute-to-minute moves, which back-adjustment does not change.

11Corrections

22 Oct 2026, navigation: added a link to the new guide comparing trading costs across all our tests. No result changed. Before publication, one bug was fixed after the first run: the engine stored the session's open price under the same name as its open time, so the check for holes in the data marked almost every session. Trades, bands and gates were not affected (the independent re-implementation matched trade by trade); the field was split, the self-test passed again, and every market was run again. See the run log in the specification. 22 Oct 2026, navigation: added a link to the new cross-market scoreboard, which includes this test. No result changed. 22 Oct 2026, navigation: added a link to the new guide comparing trend following and mean reversion across all our tests. No result changed.

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