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> You bring up an interesting point, and it sounds as though you are
> (roughly) equating noise with whipsaws.
Well, I wasn't really, but that was the term Ivo used.
> The 'real' definition of noise
> seems to be a bit elusive. :-) Could you, perhaps, elaborate on this
> seeming equivalence between noise and whipsaws?
Noise, in the signal-processing sense, is "jitter" or "wiggles" in
the signal you get out of JMA or whatever. A longer length input
results in more smoothing, which gets rid of those extra wiggles.
Some people try to trade with moving averages (JMA or whatever) by
going long when they turn up, and going short when they turn down.
In that case, any "wiggles" in the signal are going to cause whipsaw,
because they're going to cause you to reverse & reverse again when
you didn't really want to.
You can avoid this by using a longer length parameter to reduce the
noise, but of course this increases lag.
Gary
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