Donchian Channel Breakouts Filtered by a 200-Period SMA
Summary
This trend-following system combines a 20-period Donchian Channel with a 200-period simple moving average. A close above the channel’s upper boundary while above the average signals a long; a close below the lower boundary while below the average signals a short. Stops are placed using the channel midpoint and a fraction of the distance to the relevant outer band.
The document describes the setup and its risks but provides no performance statistics. Published backtest settings cover SOL/USDT on daily bars for less than a month, which is too limited to establish robustness. The implementation also differs from parts of the prose: its stop levels are recalculated from the current channel, and the breakout conditions compare channel values with prior highs or lows rather than directly testing the close against the band. It does not show explicit position sizing or a separate exit rule. The stated concerns include false breakouts in ranging markets, slippage during fast moves, reversals, and sensitivity to selected periods.
Key ideas
- The strategy combines Donchian Channel breakouts with a 200-period SMA trend filter.
- It takes long signals above the upper band when price is above the SMA, and short signals below the lower band when price is below it.
- Stops are based on the channel midpoint and the distance to an outer band.
- The published daily SOL/USDT test spans less than a month and gives no performance results.
- Sideways markets, slippage, reversals, and parameter sensitivity are identified as risks.
Tags
Cited by
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.