The Super Trend Indicator(Python)

Hi, please ignore the self.test in Update method of SuperTrend, it is for debugging only

You could try searching the forums for an implementation. I think someone has already tried using ATR trailing stop in their code here. 

Hey,

I accidentally came across this thread by searching for a SuperTrendIndicator. For the same reason actually - trailing stop.

However, i found a nice description of it with exact formula. And, since I need it as well, i gonna try to build it. I will drop the code here as soon as I am ready.

Hey guys,

I needed consolidation for bigger resolutions, so i came up with this idea. I used consolidators to give me consolidated bars, so i could feed it into the indicator. SuperTrend.Value gives you the price where you can put your stop order. 

Since SuperTrendIndicator is kind of a mixture of price action and ATR, it adjusts to price as well as to volatility. Pretty handy for some scenarios.

Anyways. Good Luck. And if you see some mistakes or have better idea, please notify me!

Hi
Anyone implemented supertrend with multiple symbols using Universe selection ?
regards,
M.Moudassar

Sergej Gorev have you compared the results of your implementation against what TradingView is generating for SuperTrend ? 

Sergej Gorev  Thanks , it works fine

But I when i change the resolution to Hour , or test the ALGO on more than few months

like this 

#region imports
from AlgorithmImports import *
#endregion
import datetime

class SuperTrendTester(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 1, 10)  # Start Date
        self.SetEndDate(2020, 1, 10)  # End Date
        
        self.SetCash(100000)  # Set Strategy Cash
        self.spy = self.AddEquity("SPY", Resolution.Hour, Market.USA).Symbol
        self.superTrend = SuperTrend(self, self.spy, 2, 14, datetime.timedelta(minutes=15))


    def OnData(self, data):
        self.Plot("Chart", "SPY", data[self.spy].Close)
        if self.superTrend.Value is None: return
        self.Plot("Chart", "SuperTrend", self.superTrend.Value)

class SuperTrend:

    def __init__(self, algorithm:QCAlgorithm, symbol, multiplier:float, period:int, resolution:datetime.timedelta):
        self.algorithm = algorithm
        self.symbol = symbol
        self.multiplier = multiplier
        self.period = period
        self.resolution = resolution

        self.IsReady = False
        self.Value = None


        self.atr = None
        self.registerATR()


        self.Bars = RollingWindow[IBaseDataBar](2)
        self.atrWindow = RollingWindow[float](2)
        self.atrDown = RollingWindow[float](2)
        self.atrUp = RollingWindow[float](2)
        algorithm.Consolidate(self.symbol, self.resolution, self.OnStart)

        
    
    def OnStart(self, bar):
        self.Bars.Add(bar)

        if not self.atr.IsReady:
            self.IsReady = False
            return
        else: 
            self.atrWindow.Add(self.atr.Current.Value)

        if not self.Bars.IsReady and not self.atrWindow.IsReady:
            self.IsReady = False
            return
        else: 
            self.calculateAtrUpAtrDown()

        if not self.atrUp.IsReady and not self.atrDown.IsReady:
            self.IsReady = False
            return
        else:
            self.calculateSuperTrend()
        
        self.IsReady = True


    def registerATR(self):
        self.atr = self.algorithm.ATR(self.symbol, self.period)
        timeDeltaConsolidator = BaseDataConsolidator(self.resolution)
        self.algorithm.SubscriptionManager.AddConsolidator(self.symbol, timeDeltaConsolidator)
        self.algorithm.RegisterIndicator(self.symbol, self.atr, timeDeltaConsolidator)

    def calculateAtrUpAtrDown(self):
        hltwo = (self.Bars[0].High + self.Bars[0].Low) / 2
        hltwoPrev = (self.Bars[1].High + self.Bars[1].Low) / 2

        downNow = hltwo - self.multiplier * self.atrWindow[0]
        downPrev = hltwoPrev - self.multiplier * self.atrWindow[1]
        atrDown = max(downPrev, downNow) if self.Bars[1].Close > downPrev else downNow
        self.atrDown.Add(atrDown)

        upNow = hltwo + self.multiplier * self.atrWindow[0]
        upPrev = hltwoPrev + self.multiplier * self.atrWindow[1]
        atrUp = min(upNow, upPrev) if self.Bars[1].Close < upPrev else upNow
        self.atrUp.Add(atrUp)
        
    def calculateSuperTrend(self):
        if self.Bars[0].Close > self.atrUp[1]:
            self.Value = self.atrDown[0]
        elif self.Bars[0].Close < self.atrDown[1]:
            self.Value = self.atrUp[0]
        else:
            pass

I get an error 

would anyone help how to fix it ?

Ахмед М. Ибраим

Try the native QuantConnect SuperTrend indicator.

Tai Man Chan, Apollos Hill , Sergej Gorev, Muhammad Mudassar,Ахмед М. Ибраим,

It is time to try the native QuantConnect SuperTrend indicator.

Wow glad they finally add it, great addittion. hopefully they will add it here too! 

Hi Shner,

It's here.

Fred

Can I use one of these with the Coarse and Fine UniverseSelection?

Hi Aalap,

Yes, see Indicator Universes.

Best,
Derek Melchin

Congrats to Derek and all the Quantconnect team for bringing this indicator to the platform.

I've been doing some testing and its worked flawlessly so I'm excited to put it to work soon.

Keep up the good work :-)

Cheers,

Andres