Two published intraday strategies, tested on NIFTY 50 stocks: an edge that fades and one that isn't there

Academic papers are a better source of trading ideas than YouTube: the rules are exact and the tests are careful. But they’re usually tested on US markets, often on an index fund rather than single stocks. We took two well-known intraday papers and applied their rules to every NIFTY 50 stock from January 2016 to August 2026, with Indian costs.

1. The noise band (“Beat the Market”, Zarattini, Aziz and Barbon, 2024)

The idea: most intraday moves stay inside a “noise” band that can be estimated from recent days. Price leaving the band suggests real demand, so trade in that direction.

Our rules, per stock: the band is centred on the larger (or smaller) of today’s open and yesterday’s close, and is as wide as the stock’s average absolute move from the open at the same time of day over the last 14 days. Every half hour from 10:00, go long above the upper band or short below the lower band. Exit when price crosses back through the band or VWAP (or at 15:15).

Unlike most setups we test, this one has a real edge: +4.1 bps per trade before costs, and the stocks it picks beat random stocks at the same minute in all 200 of our random runs. But the edge isn’t large enough to pay for a round trip, and it has shrunk in each period:

A wider band (1.5×) trades less and loses less, −₹71 lakh. Holding to the close instead of trailing doubles the win rate to 47% but still loses ₹95 lakh. All three versions lost the most in 2024–26.

2. Intraday momentum (Gao, Han, Li and Zhou, 2018)

The idea: the market’s return in the first half hour predicts its return in the last half hour, and the authors link it to investors who rebalance or trade late in the day.

Our rules, per stock: take each stock’s return from the previous close to 09:45. Near the end of the day, enter in that direction and close at 15:15. We tried no threshold, moves above 0.5% and above 1%, and entries at 14:45 and 14:15.

On single NIFTY 50 stocks there’s almost nothing there: +0.1 to +0.6 bps per trade before costs, and in 2024–26 the edge is zero or negative in three of the four versions. A 30-minute trade can’t pay 6.5 bps of costs from a fraction of a basis point. Every version lost money in all eleven years.

₹5 lakh per trade, 5-minute bars, v2026.08 snapshot (Jan 2016 – Aug 2026), NIFTY 50 point-in-time members, discount-broker (₹20/order) and statutory charges + 1 bp slippage per fill. Generated 2026-10-07.

def noise_band(mult=1.0, exit='trail'):
    """Zarattini, Aziz & Barbon (2024), "Beat the Market", per stock. Noise band around max/min(today's open, previous
    close): +/- mult x the average absolute move from the open at the same time of day over the last 14 days. At every
    HH:00 / HH:30 from 10:00, go long above the upper band or short below the lower band. exit='trail': close when
    price crosses back through max(band, VWAP); 'eod': hold to 15:15."""
    def strategy(p):
        move = (p.close / p.day_open - 1).abs()
        sigma = move.groupby(p.tod.values).transform(lambda x: x.rolling(14, min_periods=10).mean().shift(1))
        pc = p.prev_day('close')
        upper = np.maximum(p.day_open, pc) * (1 + mult * sigma)
        lower = np.minimum(p.day_open, pc) * (1 - mult * sigma)
        end = p.tod + p.minutes
        check = p.bcast((end >= bt.hm('10:00')) & (end % 30 == 0))
        sig = dict(long=check & (p.close > upper), short=check & (p.close < lower))
        if exit == 'trail':
            sig['long_exit'] = p.close < np.maximum(upper, p.vwap)
            sig['short_exit'] = p.close > np.minimum(lower, p.vwap)
        return bt.Signals(**sig)
    return strategy