Implementing Double Supertrend Trading Strategy using Backtrader (2024)

The Double Supertrend strategy is a technical trading strategy that utilizes the Supertrend indicator, which is a trend-following indicator, twice in order to identify market trends and generate trading signals. The strategy uses one Supertrend indicator with default settings, and another with modified settings, in order to provide a more robust and accurate trend identification. By combining the signals from both indicators, the strategy aims to reduce the number of false signals and increase the chances of profitable trades. Additionally, the strategy also incorporates trendline analysis on the On-Balance Volume (OBV) indicator, which is used to confirm the trend and identify potential trend breaks. This strategy is suitable for traders who prefer a trend-following approach and are comfortable with using technical indicators.

Here is an example of how to implement theDouble Supertrend Trading Strategy using the backtrader library:

import backtrader as bt
import backtrader.indicators as btind
class DoubleSupertrend(bt.Strategy):
 params = (
 ('atr_period', 14),
 ('atr_multiplier', 3),
 ('atr_multiplier2', 2),
 )
 def __init__(self):
 self.obv = btind.OnBalanceVolume()
 self.supertrend = btind.SuperTrend(self.data.close, self.data.high, self.data.low, period=self.params.atr_period, mul=self.params.atr_multiplier)
 self.supertrend2 = btind.SuperTrend(self.data.close, self.data.high, self.data.low, period=self.params.atr_period, mul=self.params.atr_multiplier2)
 self.order = None
 def next(self):
 # Check if OBV trendline breaks
 if self.obv.lines.trendline.breakout_sig() != 0:
 self.close()
 # Check if Supertrends are in the same direction
 if self.supertrend > self.data.close and self.supertrend2 > self.data.close:
 self.order = self.sell()
 elif self.supertrend < self.data.close and self.supertrend2 < self.data.close:
 self.order = self.buy()
 # Set stop loss and take profit
 if self.order:
 self.stop_loss(self.data.low[0])
 self.take_profit(self.supertrend2[0])

The above code is a Python implementation of the Double Supertrend strategy using the Backtrader library. The strategy is defined in…