Backtrader SuperTrend Indicator

Backtrader_SuperTrend.py

class SuperTrend(bt.Indicator):
    lines = ('super_trend',)
    params = (
        ('multiplier', 12.0),
        ('atr_period', 3),
    )

    def __init__(self):
        self.isDownTrend = -1
        self.isUpTrend = 1
        self.trendDirection = self.isDownTrend

        hl2 = (self.data.high + self.data.low) / 2.0
        self.atrValue = bt.indicators.ATR(self.data, period=self.p.atr_period)

        self.basicUpperBand = hl2 + (self.p.multiplier * self.atrValue)
        self.basicLowerBand = hl2 - (self.p.multiplier * self.atrValue)

        self.upperBand = None
        self.lowerBand = None

    def next(self):
        if self.upperBand is None:
            self.upperBand = self.basicUpperBand[0]
        else:
            self.upperBand = self.basicUpperBand[0] if (self.basicUpperBand[0] < self.upperBand or self.data.close[-1] > self.upperBand) else self.upperBand

        if self.lowerBand is None:
            self.lowerBand = self.basicLowerBand[0]
        else:
            self.lowerBand = self.basicLowerBand[0] if (self.basicLowerBand[0] > self.lowerBand or self.data.close[-1] < self.lowerBand) else self.lowerBand

        if self.trendDirection == self.isDownTrend and self.data.close[0] > self.upperBand:
            self.trendDirection = self.isUpTrend
        elif self.trendDirection == self.isUpTrend and self.data.close[0] < self.lowerBand:
            self.trendDirection = self.isDownTrend

        self.lines.super_trend[0] = self.lowerBand if self.trendDirection == self.isUpTrend else self.upperBand