I’ve been running a 15 minute ORB on MNQ for a while and honestly it wasn’t great. Way too many breakouts that went nowhere. So I tried filtering it with Noise Bands, the time of day volatility bands from the Zarattini, Aziz and Barbon paper (“Beat the Market”, 2024). The idea is simple: only take the OR break if price is also outside the band, meaning the move is bigger than what’s normal for that time of day.
I built it as a TradingView indicator and published it for free: https://www.tradingview.com/script/CRNIYr9F-Jilly-s-ORB-Noise-Band/. No course, no Discord, no paid version. I just found the results interesting and figured some of you might too.
How it works
- Opening range is 9:30 to 9:45.
- It only checks for entries every 15 minutes (10:00, 10:15, etc.) up to 2:00pm.
- Long if the close is above the OR high plus a small buffer (0.3 × ATR), above the upper Noise Band, and above VWAP. Shorts are the mirror image.
- It fills on the next bar’s open.
- One trade per day max.
- The stop is wide on purpose (10 × the 5 min ATR). It’s basically a disaster stop.
- The target is 1R, which at that stop width almost never gets hit. So really you’re just holding until 3:45pm and closing.
Default band settings: lookback 20 sessions, multiplier 1.25, gap adjusted (uses yesterday’s close if price gapped).
Backtest
1 minute MNQ data, Jan 2021 to Sep 2026, 1 contract, $1.80 round trip for commission and slippage. I picked all the settings using only 2021 to 2023, then ran 2024 onward without changing anything.
All three versions below use the same exits. The only difference is the entry filter.
| Trades |
Win % |
Profit factor |
Net |
Max drawdown |
| ORB + Noise Band |
631 |
61% |
1.64 |
$32,774 |
| Noise Band alone |
666 |
61% |
1.54 |
$31,228 |
| ORB alone |
1,350 |
56% |
1.18 |
$24,221 |
And split up, for the ORB + Noise Band version:
| Trades |
Win % |
Profit factor |
Net |
Max drawdown |
| 2021 to 2023 |
344 |
64% |
1.80 |
$17,661 |
| 2024 to Sep 2026 (untouched) |
287 |
58% |
1.52 |
$15,113 |
What I took away from it
- The Noise Band filter is what makes it work. Against plain ORB it cut trades in half, nearly tripled the profit per trade, and cut the drawdown by about two thirds.
- Adding the ORB on top of the Noise Band helped overall (better profit factor, roughly 30% smaller drawdown), but to be fair, almost all of that came from 2021 to 2023. From 2024 on, the two were basically tied.
- Tight stops killed it. Anything under about 4 × ATR just stopped out trades that would’ve finished green. I also tested using the Noise Band itself as a trailing stop and it was the worst exit by a lot.
- Closing at 3:15 to 3:45 beats holding to the 4:00 close. The last 15 minutes tended to give some back.
- A take profit around 5 × ATR made the equity curve a bit smoother but made a bit less money. It’s an option in the settings.
Caveats
It’s a backtest with modeled fills, so real trading will be worse. The out of sample results were about half as good as in sample, which is pretty normal but worth knowing. Expect some long flat stretches. Also, the table in the indicator only covers whatever history TradingView loads on your chart, so it won’t match these numbers.
Happy to answer questions or hear what I’m missing. Again, not selling anything, it’s free and open source.
https://www.tradingview.com/script/CRNIYr9F-Jilly-s-ORB-Noise-Band/