I can’t code same supertrend as PRT

• 10/31/2021 at 6:34 PM #180689
  Ben3211

  Hi everyone!

  I’m trying to code the prorealtime supertrend in python with the native tws api.

  I noticed my ATR which is essential for calculating the supertrend it sometimes very far from the PRT indicator.
  I have tried several different functions for calculating ATR but nothing helps.

  Is it possible to find the source code for ATR or supertrend?
  Perhaps have you another way of thinking ?

  Thanks everyone
  Regards,
  Ben

  

  Ben3211

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  10/31/2021 at 6:57 PM #180694
  robertogozzi

  There you go:

  // Super Trend custom // // https://stackoverflow.com/questions/44935269/supertrend-code-using-pandas-python // //Multiplier = 3 //Periods = 10 Multiplier = Max(1,Min(999,Multiplier)) Periods = Max(1,Min(999,Periods)) IF BarIndex > Max(Periods,Multiplier) THEN MyATR = AverageTrueRange[Periods](close) * Multiplier BasicUPPER = MedianPrice + MyATR BasicLOWER = MedianPrice - MyATR IF (BasicUPPER < FinalUPPER[1]) OR (close[1] > FinalUPPER[1]) THEN FinalUPPER = BasicUPPER ENDIF IF (BasicLOWER > FinalLOWER[1]) OR (close[1] < FinalLOWER[1]) THEN FinalLOWER = BasicLOWER ENDIF IF (ST[1] = FinalUPPER[1]) AND (close <= FinalUPPER) THEN ST = FinalUPPER ELSE IF (ST[1] = FinalUPPER[1]) AND (close > FinalUPPER) THEN ST = FinalLOWER ELSE IF (ST[1] = FinalLOWER[1]) AND (close >= FinalLOWER) THEN ST = FinalLOWER ELSE IF (ST[1] = FinalLOWER[1]) AND (close < FinalLOWER) THEN ST = FinalUPPER ENDIF ENDIF ENDIF ENDIF ENDIF RETURN ST AS "Super Trend"

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  // Super Trend custom // // https://stackoverflow.com/questions/44935269/supertrend-code-using-pandas-python // //Multiplier     = 3 //Periods        = 10 Multiplier       = Max(1,Min(999,Multiplier)) Periods          = Max(1,Min(999,Periods)) IF BarIndex > Max(Periods,Multiplier) THEN    MyATR         = AverageTrueRange[Periods](close) * Multiplier    BasicUPPER    = MedianPrice + MyATR    BasicLOWER    = MedianPrice - MyATR    IF (BasicUPPER < FinalUPPER[1]) OR (close[1] > FinalUPPER[1]) THEN       FinalUPPER = BasicUPPER    ENDIF    IF (BasicLOWER > FinalLOWER[1]) OR (close[1] < FinalLOWER[1]) THEN       FinalLOWER = BasicLOWER    ENDIF    IF (ST[1] = FinalUPPER[1]) AND (close <= FinalUPPER) THEN       ST = FinalUPPER    ELSE       IF (ST[1] = FinalUPPER[1]) AND (close > FinalUPPER) THEN          ST = FinalLOWER       ELSE          IF (ST[1] = FinalLOWER[1]) AND (close >= FinalLOWER) THEN             ST = FinalLOWER          ELSE             IF (ST[1] = FinalLOWER[1]) AND (close < FinalLOWER) THEN                ST = FinalUPPER             ENDIF          ENDIF       ENDIF    ENDIF ENDIF RETURN ST AS "Super Trend"

   

  

  robertogozzi

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  11/01/2021 at 9:19 AM #180724
  Ben3211

  Hi robertogozz

  Yes it’s almost what i need, I would like to have a look inside “AverageTrueRange”
  I will try some ideas from your stackoverflow link
  

  Thanks !

  

  Ben3211

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  11/01/2021 at 10:17 AM #180733
  robertogozzi

  Atr (and TR):

  // ATR formula // // https://en.wikipedia.org/wiki/Average_true_range // https://www.investopedia.com/terms/a/atr.asp // // TR calculations: // // MyTR = max(Range,max(abs⁡ (high − close[1]),abs⁡ (low − close[1]))) // // The true range is the largest of the: // - Most recent period's high minus the most recent period's low // - Absolute value of the most recent period's high minus the // previous close // - Absolute value of the most recent period's low minus the // previous close // // Calculation of ATR (of P periods): //p = 10 p = max(2,min(999,p)) //range 2 - 999 MyTR = max(Range,max(abs(high - close[1]),abs(low - close[1]))) IF BarIndex < p THEN MyATR = MyTR ELSE MyATR = ((MyATR[1] * (p - 1)) + MyTR) / p ENDIF RETURN MyATR

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  // ATR formula // // https://en.wikipedia.org/wiki/Average_true_range // https://www.investopedia.com/terms/a/atr.asp // // TR calculations: // //        MyTR = max(Range,max(abs⁡ (high − close[1]),abs⁡ (low − close[1]))) // //        The true range is the largest of the: //         - Most recent period's high minus the most recent period's low //         - Absolute value of the most recent period's high minus the //           previous close //         - Absolute value of the most recent period's low minus the //           previous close // // Calculation of ATR (of P periods): //p    = 10 p      = max(2,min(999,p))               //range 2 - 999 MyTR   = max(Range,max(abs(high - close[1]),abs(low - close[1]))) IF BarIndex < p THEN    MyATR = MyTR ELSE    MyATR = ((MyATR[1] * (p - 1)) + MyTR) / p ENDIF RETURN MyATR

   

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  robertogozzi

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  11/01/2021 at 1:58 PM #180743
  Ben3211

  Thanks robertogozz

  i’ll studied that !

  

  Ben3211

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