I can’t code same supertrend as PRT

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10/31/2021 at 6:34 PM #180689 quote

Ben3211

Participant

New

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

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

robertogozzi

Moderator

Legend

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"

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

Ben3211

Participant

New

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 !

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

robertogozzi

Moderator

Legend

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

Ben3211 thanked this post

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

Ben3211

Participant

New

Thanks robertogozz

i’ll studied that !