Bitcoin Donchian Breakouts with ATR Trailing Stops

Summary

This document presents a Bitcoin trend-following strategy using Donchian channels, an exponential moving average filter, and an ATR-based trailing stop. It signals long entries when price closes above a prior high channel and short entries below a prior low channel, subject to the trend filter. The visible settings also allow users to choose position risk, leverage, trade direction, and optional Friday position closing. The source ends partway through the position-sizing logic, so the full exit and sizing implementation cannot be assessed from the supplied text.

The description reports a backtest with a profit factor near 1.6 and drawdown near 15% across roughly nine and a half years, including the 2018 and 2022 crashes. These are author-reported figures; the document does not provide the underlying report or enough detail to independently verify them. It names spread costs and overnight exposure as considerations, but live execution, slippage, and funding or financing effects may differ. The settings target BTCUSD on a four-hour chart, so the reported behavior should not be assumed to generalize to other instruments or timeframes.

Key ideas

• The strategy enters on Donchian channel breakouts and can filter entries by whether price is above or below a long-term EMA.
• An ATR multiple sets the trailing stop distance, allowing the stop range to vary with volatility.
• Position risk can be based on current equity or initial capital, with an optional dollar risk cap and leverage setting.
• The script offers long-only, short-only, or two-sided trading and an optional Friday close.
• The published performance figures are author-reported, and the provided source is truncated before the complete implementation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.