What do you consider noise?

Quote from braincell:

I'm glad you find them interesting, but I also think they're relevant. This is because of the increasing volume of data I gathered for myself regarding indicator performance (if you want to use the silly word "prediction"). It seems to me, so far at least, that the only thing indicators can really predict with some kind of certainty are daily and monthly trends. There have been books written on the subject and papers published too, some more interesting than others. I think there are more people agreeing that noise only somewhat diminishes in those higher time frames.

Also, looking at some of the strategies developed by others, to me it seems (my opinion) that they all somehow amount to an alternative to mean-reversion strategies. Those can work with random entries too, but some people use intraday indicators to make them think their entries aren't really random - at the fundamental level.
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Agreed
And many books/articles/recomendations you can read base their assumptions on market behaviour on a daily chart (ie candles)
It aint the same intraday - it just aint
 
Quote from braincell:

So you'd say that the signal is a 20-day moving average? Or what is it?
All we see is "the price", you can make out the signal only in hind-sight and then only partially, or if you had perfect information about the market participants like i already mentioned in my last post.

Noise is tradeable, i'm pretty sure.
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anything is tradeable
3 snails racing on a trail of slime is tradeable
if you can do the math
 
You, the trader decide what is noise and what is the trend you are trying to capture.

If you are taking your kids to school in the morning, there is a little noise and then a short trending trip.

If the family is going to grandmas for the weekend there is more noise, but a longer trending trip.

If you live in NYC and grandma lives in SoCal there is a lot of noise but a very good trending trip if you stay with it and don't go crazy.
 
otherwise, I like that quote, according to Einsten, everything is relative, and that is the only absolute

on a Friday night, wish I had some pot

"What is an absolute relative to?"
 
Quote from Swan Noir:

What qualifies as noise is largely irrelevant to success. The key is to isolate those data points, patterns, structures etc. that produce a positive expectation for you and then exploit that to turn that expectation into consistent performance within a risk parameter that matches your capital.
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I believe "noise" hinders traders at 2 levels ... at the highest level (trading plan), it makes it difficult to identify these behaviors (patterns/structures/...) that could produce a system w/ positive expectation, because a particular behavior is scattered through many others behaviors plus a ton of noise.

At the lower level (day-to-day execution), noise makes it again difficult by making each instance of a specific behavior appear quite unique, often times different enough from the template behavior to raise questions about the validity of this instance (for discretionary traders) or have it simply missed by an automated system. One could add there are also instances of pure noise that match the template definition for a particular behavior, but I would argue that it is impossible to prove it was noise not signal, so I am deliberately ignoring this (provided the template definition for a behavior has been refined enough).

Against this low-level noise, for a specific market behavior identified & modeled as a "template", I use metrics to measure the quality of each instance (vs the template definition), and statistics out of backtesting to set thresholds for those metrics (which become execution filters). One of the keys is to have a loose enough initial definition of the behavior ("outside" template), to capture & measure as many variations as possible, in order to refine the "inside" template through those metrics/filters.
 
noise is what the parent's of a successful musician have to listen to while the kid's growing up,if he/she makes it,it becomes music
 
Quote from braincell:

In theory, with sufficient capital, it's very possible to extract profits from random prices. In fact, just recently I saw G-Bot on this very forum. It auto-develops strategies on random price curves (geometric brownian motion, coin toss, etc) and gives quite a number of positive statistics on a number of such strategies. I looked into it and it's a legit approach.
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Seeing is believing. I have to see significant profits being derived from a randomly generated series before I believe it.
 
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