Donchian Breakouts with Channel Stops and Trend Filters

Summary

This long-only strategy enters when price breaks the upper Donchian Channel, using either a candle close or a wick as the trigger. It exits through a stop based on the lower channel. An optional tighter channel can set the initial stop, with the wider lower band taking over after the position moves into profit. The upper and lower lookback periods can be configured independently.

Optional filters require price to be above moving averages on the current or a higher timeframe, or require a higher-timeframe average to be rising. Another filter compares the channel’s support-to-resistance distance with average daily range to screen out breakouts considered too extended. The script also allows a backtest date window and displays range and volatility information. It supplies implementation choices rather than reported strategy results; its performance will depend on instrument, settings, execution assumptions, and testing methodology.

Key ideas

• The strategy enters long when price reaches or exceeds the upper Donchian boundary.
• It exits using a stop tied to the lower channel, with an optional tighter initial stop.
• Moving-average filters can restrict trades by price trend or higher-timeframe average slope.
• An average daily range comparison can filter breakouts when the channel width is too large.
• The script offers configurable triggers and dates but provides no performance evidence.

Tags

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