Donchian Breakouts with Moving Average Trend Filters

Summary

This strategy enters long when the close breaks above the prior 20-day high and the faster moving average is above the slower one. The document describes 8- and 32-day exponential averages, while the supplied code actually calculates simple moving averages. It exits on a lower-channel break or a bearish moving-average crossover in the prose; the code closes on a bearish crossover and also sets an ATR-based stop and trailing offset after entry.

The channel is calculated from prior bars, with its midpoint defined by the range's high and low. The published backtest settings specify BTC/USDT futures and a roughly one-year interval, but no performance figures are reported. The narrative labels the method suitable for equities, while the backtest uses crypto futures. Breakout failures, parameter sensitivity, and overly tight stops are noted risks. The code's exit behavior differs from the prose, and the stop description differs as well, so the implementation should be checked before drawing conclusions from the written rules.

Key ideas

• A close above the prior channel high triggers a long entry when the fast average exceeds the slow average.
• The channel uses recent highs and lows, with a midpoint derived from those boundaries.
• The narrative describes exponential averages, but the source calculates simple moving averages.
• The prose and code differ on exit and stop rules, and no backtest results are reported.

Tags

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