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At 03:13 AM 7/5/2004, Alex Matulich wrote:
>Here, then, is my function _butterworthLP, which can be set to
>calculate the traditional Butterworth or the critically damped
>version. The code itself is rather short. The bulk of it is
>comments. Use it anywhere you'd want an EMA; it'll respond better,
>smooth better, and never overshoot the data.
Very clever. Have you calculated the response to a transient - like a step function?
>The only problem is, like with all infinite impulse response (IIR) filters
>except for the basic exponential moving average (EMA), is that (the
>Butterworth filter) suffers from overshoot.
It is possible to design IIR filters with no overshoot.
John Ehlers new book "Cybernetic Analysis for Stocks and Commodities" has a similar filter which he calls his "Super Smoothers".
His approach is similar in that he simply eliminates the polynomial in the numerator of the Z transform of the Butterworth filter.
He gives the code for both the second order and third order filters.
It would be interesting to know if your approach to cascading 2nd order filters is better or worse than his approach of using modified higher order Butterworth filters.
Bob Fulks
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