What is the Theory Behind JMA ?
PART 1 : PRICE GAPS Smoothing time series data, such as daily stock prices, in order to remove unwanted noise will inevitably produce a graph (indicator) that moves slower than the original time series. This “slowness” will cause the plot to lag somewhat behind the original series. For example, a 31 day simple moving average will lag the price time series by 15 days. Lag is very undesirable because a trading system using that information will have its trading delayed. Late trades can many times be worse than no trades at all, as you might buy or sell on the wrong side of the market’s cycle. Consequently, many attempts were made to minimize lag, each with their own failings. Conquering lag while making no simplifying assumptions (e.g., that data consists of superimposed cycles, daily price changes having a Gaussian distribution, all prices are equally important, etc.) is not a trivial task. In the end, JMA had to based on the same technology the military uses to track moving objects in
