Can the Fourier transform be applied to moving averages with Python?

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Discussion Overview

The discussion revolves around the application of the Fourier transform to signals derived from moving averages, particularly in the context of backtesting and analysis using Python. Participants are exploring the characteristics of these signals and the implications of applying Fourier transforms to either the original signals or the lowpass filtered signals resulting from moving averages.

Discussion Character

  • Exploratory
  • Technical explanation
  • Debate/contested

Main Points Raised

  • One participant expresses interest in applying the Fourier transform to signals from moving averages for comparison and backtesting.
  • Another participant questions the nature of "these signals" and suggests that applying a moving average acts as a lowpass filter, prompting a discussion on whether to apply the Fourier transform to the original signal or the filtered one.
  • A later reply clarifies the intention to apply the Fourier transform to the original signal, arguing it may be more effective for analysis.
  • There is a request for more specificity regarding the signals and the intended analysis, indicating a need for clearer communication to facilitate assistance.

Areas of Agreement / Disagreement

Participants have not reached a consensus on whether the Fourier transform should be applied to the original signal or the moving average signal, indicating a disagreement on the best approach for analysis.

Contextual Notes

Participants have not provided detailed characteristics of the signals in question, and there is ambiguity regarding the definitions and implications of applying the Fourier transform to different signal types.

herchell
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I would like to compare and backtest these signals by applying Fourier transform to the signals received from moving averages. I would be very pleased if you could share your opinions and suggestions on this issue.
 
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Welcome to PF.

Can you say more about "these signals"? What are their characteristics? And when you do a moving average on a signal, that is basically a lowpass digital filter that you are applying. Do you really want a FT (or FFT) of this lowpass filtered signal, or do you want to FT the original signal?
 
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berkeman said:
Welcome to PF.

Can you say more about "these signals"? What are their characteristics? And when you do a moving average on a signal, that is basically a lowpass digital filter that you are applying. Do you really want a FT (or FFT) of this lowpass filtered signal, or do you want to FT the original signal?
I want the fourier transform of the original signal. Wouldn't that be more effective for analysis?
 
herchell said:
these signals
herchell said:
the original signal
herchell said:
the signals received from moving averages

:welcome:

Perhaps you could be a bit more specific about what exactly you have and what you want to do. Now we have to guess how to help you .

##\ ##
 
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