Donchian Channel Breakouts with an ATR Trailing Stop
Summary
This long-only trend-following strategy buys when the close crosses above the prior period's Donchian upper band. The band is based on the highest high and lowest low over a configurable lookback, with their average used as a midline. The position closes when price crosses below an ATR-based trailing stop, whose distance is controlled by an ATR period and multiplier.
The listed defaults are a 100-period Donchian lookback, a 10-period ATR, and a multiplier of 3. Published backtest settings identify BTC/USDT futures, daily strategy bars, and a one-hour base period over the stated date range. No outcome or performance statistics are included. The document warns that choppy markets and reversals can cause drawdowns, that results can depend heavily on parameter choices, and that frequent trading costs and slippage matter. It suggests trend-strength filters and position sizing as possible extensions, rather than describing them as tested components.
Key ideas
- A long position opens when price crosses above the previous Donchian upper band.
- The close signal occurs when price crosses below an ATR-based trailing stop.
- The default settings use a 100-period channel and a 10-period ATR multiplied by 3.
- The published backtest settings use BTC/USDT futures with daily bars and a one-hour base period.
- The document reports no performance results and notes risks from choppy markets, parameter choices, and trading costs.
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.