supertrend

supertrend(high, low, close, length=None, multiplier=None, offset=None, **kwargs)

Supertrend (supertrend)

Supertrend is an overlap indicator. It is used to help identify trend direction, setting stop loss, identify support and resistance, and/or generate buy & sell signals.

Sources:

http://www.freebsensetips.com/blog/detail/7/What-is-supertrend-indicator-its-calculation

Calculation:

Default Inputs:

length=7, multiplier=3.0

Default Direction:

Set to +1 or bullish trend at start

MID = multiplier * ATR LOWERBAND = HL2 - MID UPPERBAND = HL2 + MID

if UPPERBAND[i] < FINAL_UPPERBAND[i-1] and close[i-1] > FINAL_UPPERBAND[i-1]:

FINAL_UPPERBAND[i] = UPPERBAND[i]

else:

FINAL_UPPERBAND[i] = FINAL_UPPERBAND[i-1])

if LOWERBAND[i] > FINAL_LOWERBAND[i-1] and close[i-1] < FINAL_LOWERBAND[i-1]:

FINAL_LOWERBAND[i] = LOWERBAND[i]

else:

FINAL_LOWERBAND[i] = FINAL_LOWERBAND[i-1])

if close[i] <= FINAL_UPPERBAND[i]:

SUPERTREND[i] = FINAL_UPPERBAND[i]

else:

SUPERTREND[i] = FINAL_LOWERBAND[i]

Args:

high (pd.Series): Series of ‘high’s low (pd.Series): Series of ‘low’s close (pd.Series): Series of ‘close’s length (int) : length for ATR calculation. Default: 7 multiplier (float): Coefficient for upper and lower band distance to

midrange. Default: 3.0

offset (int): How many periods to offset the result. Default: 0

Kwargs:

fillna (value, optional): pd.DataFrame.fillna(value) fill_method (value, optional): Type of fill method

Returns:

pd.DataFrame: SUPERT (trend), SUPERTd (direction), SUPERTl (long), SUPERTs (short) columns.