Add Supertrend Indicator to Backtrader

[nicostro]

Dear all,

I would like to incorporate the supertrend indicator to backtrader (function is shown below). I'm new to backtrader / python, and I'm not sure how to code it to make it work properly with a calling like this:

self.supertrend = supertrend(self.datas)

Would be much appreciated if someone could provide guidance on how to implement it.

Many thanks in advance!

import backtrader as bt
import numpy as np
from pandas import DataFrame
import talib.abstract as ta

def supertrend(dataframe, multiplier=3, period=10):
    df = dataframe.copy()

    df['TR'] = ta.TRANGE(df)
    df['ATR'] = df['TR'].ewm(alpha=1 / period).mean()

    # atr = 'ATR_' + str(period)
    st = 'ST_' + str(period) + '_' + str(multiplier)
    stx = 'STX_' + str(period) + '_' + str(multiplier)

    # Compute basic upper and lower bands
    df['basic_ub'] = (df['high'] + df['low']) / 2 + multiplier * df['ATR']
    df['basic_lb'] = (df['high'] + df['low']) / 2 - multiplier * df['ATR']

    # Compute final upper and lower bands
    df['final_ub'] = 0.00
    df['final_lb'] = 0.00
    for i in range(period, len(df)):
        df['final_ub'].iat[i] = df['basic_ub'].iat[i] if df['basic_ub'].iat[i] < df['final_ub'].iat[i - 1] or \
                                                         df['close'].iat[i - 1] > df['final_ub'].iat[i - 1] else \
        df['final_ub'].iat[i - 1]
        df['final_lb'].iat[i] = df['basic_lb'].iat[i] if df['basic_lb'].iat[i] > df['final_lb'].iat[i - 1] or \
                                                         df['close'].iat[i - 1] < df['final_lb'].iat[i - 1] else \
        df['final_lb'].iat[i - 1]

    # Set the Supertrend value
    df[st] = 0.00
    for i in range(period, len(df)):
        df[st].iat[i] = df['final_ub'].iat[i] if df[st].iat[i - 1] == df['final_ub'].iat[i - 1] and df['close'].iat[
            i] <= df['final_ub'].iat[i] else \
            df['final_lb'].iat[i] if df[st].iat[i - 1] == df['final_ub'].iat[i - 1] and df['close'].iat[i] > \
                                     df['final_ub'].iat[i] else \
                df['final_lb'].iat[i] if df[st].iat[i - 1] == df['final_lb'].iat[i - 1] and df['close'].iat[i] >= \
                                         df['final_lb'].iat[i] else \
                    df['final_ub'].iat[i] if df[st].iat[i - 1] == df['final_lb'].iat[i - 1] and df['close'].iat[i] < \
                                             df['final_lb'].iat[i] else 0.00

        # Mark the trend direction up/down
    df[stx] = np.where((df[st] > 0.00), np.where((df['close'] < df[st]), 'down', 'up'), np.NaN)

    # Remove basic and final bands from the columns
    df.drop(['basic_ub', 'basic_lb', 'final_ub', 'final_lb'], inplace=True, axis=1)

    df.fillna(0, inplace=True)

    return DataFrame(index=df.index, data={
        'ST': df[st],
        'STX': df[stx]
    })


class TestStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        date = self.data.datetime.datetime()
        print('%s, %s' % (date, txt))

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close
        self.dataopen = self.datas[0].open
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low
        self.datavolume = self.datas[0].volume

        # To keep track of pending orders and buy price/commission
        self.order = None

        self.supertrend = supertrend(self.datas)

[mudassar031]

@nicostro
Here is Supertrend indicator
https://github.com/mementum/backtrader/pull/374/files

[nicostro]

Many thanks, much appreciated!

[toinou222]

@mudassar031
Hello,

Thanks for your indicator!

How do you use it in order to compute a backtest?
Do you use it with cerebro.addstrategy or cerebro.add_signal?

I tried both but can't manage to make it work...
Thanks for your help!

[lihaideqianggege]

谢谢大哥，非常感谢