Donchian Breakouts with EMA Filtering and ATR Trailing Stops

Summary

This BTCUSD trend-following strategy enters when price closes beyond a prior-period Donchian channel, with an optional EMA filter that restricts trades to the prevailing trend. It sizes positions from a percentage of account equity and the ATR-based stop distance, with optional risk and leverage caps. A stop set from ATR at entry trails as price moves favorably; optional Friday closing and entry alerts support manual broker execution.

The author reports tests on DAX/GER40 at one-hour intervals and BTCUSD at four-hour intervals, and says results were similar across several ATR multipliers. The page also cites a low typical win rate and emphasizes that performance depends on trends, broker spreads, commissions, and overnight financing. Those claims are not accompanied here by detailed test statistics, and the strategy may experience extended losses or inactivity in ranging markets; results should be checked for the intended market, timeframe, and costs.

Key ideas

• Entries use a close beyond the preceding Donchian channel, optionally filtered by a long-term EMA.
• The ATR distance at entry sets position size and the initial protective stop.
• The trailing stop ratchets in the trade's favor and exits without a separate signal.
• Optional risk caps, leverage limits, and Friday closing adjust exposure and holding behavior.
• The author reports cross-market tests, but costs and range-bound conditions can materially affect outcomes.

Tags

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