Comparing Three Donchian Breakout Exits on Gold

Summary

This indicator study compares three exit rules applied to the same Turtle-style Donchian breakout entries: an ATR trailing stop, a shorter exit channel, and a fixed profit target. Entries occur when a closed bar first crosses beyond the previous channel; trades begin at the next bar’s open and use an ATR-based initial stop. An optional moving-average trend filter is available. Results are scored in units of initial risk, with signal-bar spread deducted and conservative handling of gaps and bars where both stop and target are touched.

The author reports results for gold on hourly and four-hour bars across two periods, and for three currency pairs on four-hour bars in one of those periods. Gold results are positive in the reported windows, while currency-pair outcomes are mostly flat or negative; the leading exit varies by timeframe and period. The author attributes the gold outcome partly to its strong trend. These are overlapping, individually scored trades from one broker’s data, not an account-level simulation. Commissions, ordinary slippage, and intrabar event order are not fully modeled, so the figures do not establish durable profitability.

Key ideas

• The method compares three exit rules on identical Donchian breakout entries.
• Breakouts are confirmed at bar close and trades are entered at the next bar’s open.
• The study measures individual trade outcomes in multiples of initial risk and subtracts spread.
• The best-performing exit differs across the reported timeframes and periods.
• The results are limited by overlapping trades, one data source, and simplified execution assumptions.

Tags

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