Ewan Li

Systematic equity

Noise area

Intraday momentum beyond the noise area

paperaccountINTRA2booknoisestartedSep 30, 2026

What it is

The published noise-area rule of Zarattini, Aziz and Barbon, on SPY and QQQ: checked every half hour, it follows a move beyond the band of recent sessions' usual moves from the open, and is out by the close. A sub-book of the INTRA2 Alpaca paper account that started with $45,000; each trade is recorded in the trade journal, beside the rule's own replay on SIP bars.

The rule

  • Symbols: SPY and QQQ, each a separate position.
  • Before the open: σ at each minute of the day is the mean, over the last 14 sessions with at least 10 present, of the absolute move from that session's first open to that minute, as a fraction of the open. The leverage is min(4, 2% ÷ the standard deviation of the last 14 daily returns). The previous close is yesterday's, less a dividend going ex today.
  • Band: O is the open of the day's first SIP bar. The upper band is max(O, previous close) × (1 + σ); the lower band is min(O, previous close) × (1 − σ).
  • Checks: every half hour from 10:00 to 15:30. The price is the close of IEX's minute bar that starts a minute before the check, carried forward from the last minute with a trade; the VWAP is since 9:30.
  • Signal: at a check, a long leaves below max(upper band, VWAP) and a short leaves above min(lower band, VWAP). Then, if flat, it goes long above the upper band or short below the lower band, but not back into the side it has just left at that check.
  • Exit: at a check when the rule leaves, or at market at 15:59 for the rule's exit at the official close, where the rule book replays it. From 15:59:30 the runner's sweep closes at market a position with no order working on it, and nothing is sent after 15:59:50; what is left is held overnight and closed at the open of the next full session, and INTRA2, the account the rule shares with Crabel's, sits that day out. Before 2026-10-07 the exit at the close was a market-on-close order sent from 15:45 instead; Alpaca's paper account runs no closing auction, and on 2026-10-05 it let both of that day's orders, SPY's and QQQ's, expire unfilled.
  • Size: half the sub-book's value at the start of the day for each ETF, times the day's leverage, divided by O, in whole shares, for every leg of the day.
  • Orders: market orders, right after each check and at 15:59. An entry is taken only at its own check, with up to 3 tries 5 seconds apart, and is dropped if not filled within 60 seconds of it; an exit is tried again every 10 seconds until the position is flat, and from 15:59:30 the sweep takes over.
  • Halt: the sub-book takes no new entries once its total after the commission estimate has fallen 25% from its peak, which is permanent, or, once it has a year of history, while its trailing-year Sharpe is below −0.5.
  • Data: SIP's minute and daily bars for the inputs and the open; IEX's minute bars for the price at the checks, with the VWAP from SIP's delayed bars extended by IEX's.
NameValueUnitWhere it livesPinned by
BOOKS.noiseINTRA2—syseq/intraday/runner.py:38—
ALLOC45000USD, the sub-book's starting cashsyseq/intraday/runner.py:40—
FLATTEN15:59ETsyseq/intraday/books.py:31—
SWEEP15:59:30ETsyseq/intraday/runner.py:48—
LAST_SEND15:59:50ETsyseq/intraday/runner.py:48—
NOISE_ENTRY_S60secondssyseq/intraday/books.py:35—
ENTRY_TRIES3—syseq/intraday/books.py:32—
ENTRY_GAP_S5secondssyseq/intraday/books.py:32—
EXIT_GAP_S10secondssyseq/intraday/books.py:33—
HALT_DRAWDOWN−0.25the sub-book's total's fall from its peaksyseq/execution/paper.py:22—
HALT_SHARPE_12M−0.5trailing-year Sharpesyseq/execution/paper.py:23—
OWNER_COMMISSION.trades0.007USD a share a sidesyseq/journal/common.py:13tests/test_journal.py:651
OWNER_COMMISSION.book0.007USD a share a sidesyseq/intraday/ledger.py:20tests/test_intraday_runner.py:175

Its read

What is read
a year of paper against the backtest's one-year range, and the live trades against the SIP rule book; it cannot promote the rule
Read on
Sep 30, 2027
Trades needed
—
Trades logged
—
Hard stop
—
Shipped on
—
Deployed commit
c7b1582

Record so far

Closed trades
15
Won
8 of 15
P&L
+$1,683.99
Net P&L
+$1,667.03
Closed without a P&L
—
Closed without a net P&L
—
Open
0
The book's value
Its NAV at each session's close as its ledger keeps it, before the interest and dividends the ledger credits it; the line is the $45,000 it was given.
$44,500$45,000$45,500$46,000$46,500$47,000Sep 30Oct 15Sep 30, 2026: $44,890.81Oct 1, 2026: $44,868.84Oct 2, 2026: $44,868.84Oct 5, 2026: $45,336.61Oct 6, 2026: $45,855.39Oct 7, 2026: $45,855.39Oct 8, 2026: $45,677.46Oct 9, 2026: $45,632.05Oct 12, 2026: $45,618.77Oct 13, 2026: $45,618.77Oct 14, 2026: $46,683.99Oct 15, 2026: $46,683.99
The book's value — data table
Noise area: its book's NAV at each session's close
SessionNAV
Sep 30, 2026$44,890.81
Oct 1, 2026$44,868.84
Oct 2, 2026$44,868.84
Oct 5, 2026$45,336.61
Oct 6, 2026$45,855.39
Oct 7, 2026$45,855.39
Oct 8, 2026$45,677.46
Oct 9, 2026$45,632.05
Oct 12, 2026$45,618.77
Oct 13, 2026$45,618.77
Oct 14, 2026$46,683.99
Oct 15, 2026$46,683.99
Closed trades
Each closed trade's net P&L as the record keeps it, by the day it closed.
−$400−$200$0+$200+$400+$600QQQ, closed Sep 30, 2026: −$37.48 netQQQ, closed Sep 30, 2026: +$0.42 netSPY, closed Sep 30, 2026: −$34.55 netSPY, closed Sep 30, 2026: −$41.36 netSPY, closed Oct 1, 2026: −$23.13 netQQQ, closed Oct 6, 2026: +$500.73 netSPY, closed Oct 6, 2026: +$483.80 netQQQ, closed Oct 8, 2026: +$23.50 netSPY, closed Oct 8, 2026: −$203.68 netSPY, closed Oct 9, 2026: −$46.70 netQQQ, closed Oct 12, 2026: −$102.42 netQQQ, closed Oct 12, 2026: +$86.82 netQQQ, closed Oct 14, 2026: +$21.89 netQQQ, closed Oct 14, 2026: +$499.83 netSPY, closed Oct 14, 2026: +$539.36 netSep 30Oct 14
Closed trades — data table
Noise area: each closed trade's P&L and net P&L as the record keeps them
ClosedSymbolP&LNet P&LReturn
Sep 30, 2026QQQ−$36.72−$37.48−0.09%
Sep 30, 2026QQQ+$1.18+$0.42+0.00%
Sep 30, 2026SPY−$33.42−$34.55−0.05%
Sep 30, 2026SPY−$40.23−$41.36−0.06%
Oct 1, 2026SPY−$21.97−$23.13−0.03%
Oct 6, 2026QQQ+$501.56+$500.73+1.13%
Oct 6, 2026SPY+$484.99+$483.80+0.74%
Oct 8, 2026QQQ+$24.42+$23.50+0.05%
Oct 8, 2026SPY−$202.35−$203.68−0.28%
Oct 9, 2026SPY−$45.41−$46.70−0.06%
Oct 12, 2026QQQ−$101.26−$102.42−0.16%
Oct 12, 2026QQQ+$87.98+$86.82+0.14%
Oct 14, 2026QQQ+$23.14+$21.89+0.04%
Oct 14, 2026QQQ+$501.08+$499.83+0.77%
Oct 14, 2026SPY+$541.00+$539.36+0.60%
Record Trade journal
Cost model

Alpaca paper fills as filled, with no commission; Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L and the book's total are after it. The rule book is the rule's own replay on SIP bars, after the research's own costs: $0.0035 a share a side in commission and a cent a share of slippage on every fill except the exit at the close.

Trades

18 trades

OpenedClosedAccountSymbolSideSizeEntryExitP&LNet P&LReturnHeldExit byStatusRecord
Oct 15, 2026—INTRA2SPYlong0———————rule onlyTrade journal (1)
Oct 14, 2026Oct 14, 2026INTRA2QQQshort89736.45736.19+$23.14+$21.89+0.04%30 minutessignalclosedTrade journal (1)
Oct 14, 2026Oct 14, 2026INTRA2QQQshort89733.90728.269888+$501.08+$499.83+0.77%268.9 minutescloseclosedTrade journal (1)
Oct 14, 2026Oct 14, 2026INTRA2SPYshort117773.452821768.828888+$541.00+$539.36+0.60%358.9 minutescloseclosedTrade journal (1)
Oct 12, 2026Oct 12, 2026INTRA2QQQshort83746.21747.43−$101.26−$102.42−0.16%90 minutessignalclosedTrade journal (1)
Oct 12, 2026Oct 12, 2026INTRA2QQQshort83746.95745.89+$87.98+$86.82+0.14%208.7 minutescloseclosedTrade journal (1)
Oct 9, 2026Oct 9, 2026INTRA2SPYlong92778.925761778.432174−$45.41−$46.70−0.06%58.9 minutescloseclosedTrade journal (1)
Oct 8, 2026Oct 8, 2026INTRA2QQQshort66748.14747.77+$24.42+$23.50+0.05%178.9 minutescloseclosedTrade journal (1)
Oct 8, 2026Oct 8, 2026INTRA2SPYshort95771.12773.25−$202.35−$203.68−0.28%60 minutessignalclosedTrade journal (1)
Oct 6, 2026—INTRA2SPYlong0———————rule onlyTrade journal (1)
Oct 6, 2026—INTRA2SPYlong0———————rule onlyTrade journal (1)
Oct 5, 2026Oct 6, 2026INTRA2QQQlong59751.37759.871017+$501.56+$500.73+1.13%1,414.1 minutesflattenclosedTrade journal (1)
Oct 5, 2026Oct 6, 2026INTRA2SPYlong85772.679412778.385177+$484.99+$483.80+0.74%1,384.2 minutesflattenclosedTrade journal (1)
Oct 1, 2026Oct 1, 2026INTRA2SPYshort83760.360241760.62494−$21.97−$23.13−0.03%89.9 minutessignalclosedTrade journal (1)
Sep 30, 2026Sep 30, 2026INTRA2QQQlong54743.76743.08−$36.72−$37.48−0.09%30 minutessignalclosedTrade journal (1)
Sep 30, 2026Sep 30, 2026INTRA2QQQlong54743.568149743.59+$1.18+$0.42+0.00%89.9 minutessignalclosedTrade journal (1)
Sep 30, 2026Sep 30, 2026INTRA2SPYlong81768.130247767.717654−$33.42−$34.55−0.05%30 minutessignalclosedTrade journal (1)
Sep 30, 2026Sep 30, 2026INTRA2SPYlong81768.426667767.93−$40.23−$41.36−0.06%90 minutessignalclosedTrade journal (1)
  1. (1)
    Record Trade journal
    Cost model

    Alpaca paper fills, with no commission; Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L is the P&L less it; the P&L, the return, the P&L in basis points of the book and the R multiple are before it. The rule book's day return is the rule's own replay on SIP bars, after the research's own costs: $0.0035 a share a side in commission for the noise area and $0.007 for the other rules, and a cent a share of slippage on every fill except a resting limit order's and the noise area's exit at the close.

Where the research is

  • The day-trading accounts (findings systematic-equity/DESIGN/180)
  • How the rule was tested (findings systematic-equity/RESEARCH/240)
  • The trade journal (findings systematic-equity/DESIGN/190)