ATR_TrailingStop Indicator

Jayden Clark

Hi All!

I've been learning Backtrader over the last 4 days or so and I'm loving it!

No matter how hard I searched, I haven't been able to find a pre-written ATR_TrailingStop indicator so I created one. I included 'Long' in the indicator name as this was written to begin calculating values from below the close price, therefore simulating a long position.

import backtrader as bt
from datetime import datetime
import backtrader.indicators as btind
import matplotlib.pyplot as plt
%matplotlib inline

#https://help.stockopedia.com/product-guide/charts/overlays/atr-trailing-stops/

class ATR_TS_Long(bt.Indicator):
    
    alias = ('ATR_TRAILINGSTOP',)
    
    lines = ('atr_ts',)
    
    params = (
        ('atr_period', 14),
        ('atr_mult', 3),
    )
    
    plotinfo = dict(subplot=False,)  
    plotlines = dict(
        atr_ts = dict(ls = '-'), 
    )
       
    def __init__(self):
        
        self.atr = btind.ATR(self.data, period = self.params.atr_period)
        self.bigatr = self.atr * self.p.atr_mult 
        
        self.buysell = 1
        self.l.atr_ts = self.data.close - self.bigatr #first calculated value is below close price therefore simulating a long position.
        
        btind.CrossUp(self.data.close, self.l.atr_ts)
        btind.CrossDown(self.data.close, self.l.atr_ts)
        

        
    def next(self):
        
        if self.buysell > 0: 
            self.lines.atr_ts[0] = self.data.close[0] - self.bigatr[0]
            self.l.atr_ts[0] = max(self.l.atr_ts[-1], self.l.atr_ts[0])
            if self.lines.atr_ts > self.data.close: 
                self.lines.atr_ts[0] = self.data.close[0] + self.bigatr[0]
                self.buysell = -1

        elif self.buysell < 0:
            self.lines.atr_ts[0] = self.data.close[0] + self.bigatr[0]
            self.l.atr_ts[0] = min(self.l.atr_ts[-1], self.l.atr_ts[0])
            if self.lines.atr_ts < self.data.close:
                self.l.atr_ts[0] = self.data.close[0] - self.bigatr[0]
                self.buysell = 1

Here is the link to the .ipynb file on Github.
https://github.com/jantarktic/ATR_Trailing_Stop_Indicator/blob/master/btind ATR_TS_Long.ipynb

Any feedback at all is greatly appreciated.
Cheers!

Bo Vargas

@Jayden-Clark said in ATR_TrailingStop Indicator:

https://github.com/jantarktic/ATR_Trailing_Stop_Indicator/blob/master/btind ATR_TS_Long.ipynb

Not able to view your Notebook on Github.

Jayden Clark

@Bo-Vargas here is the link to the repository:

https://github.com/jantarktic/ATR_Trailing_Stop_Indicator