Donchian Channel Breakouts with Center Stops and Configurable Targets

Summary

This strategy uses the highest high and lowest low over a configurable lookback as Donchian channel boundaries. It places stop entries at the upper boundary for long breakouts and at the lower boundary for short breakouts, with switches to enable either direction. Position quantities are calculated as a percentage of strategy equity when position size changes, and a date window controls when entries may be placed.

Exits can use no profit target, a fixed percentage target, or a trailing target based on the channel extremes; a selectable stop uses the channel midpoint. The accompanying explanation presents the approach as trend following and notes that false breakouts in ranging markets may be a weakness. The script exposes channel length, price sources, and commission assumptions, but the document provides no backtest results or evidence that additional filters improve performance. The rules and settings therefore describe a testable template rather than demonstrated returns.

Key ideas

• The upper and lower Donchian boundaries are calculated from configurable lookback highs and lows.
• Stop entries at the channel extremes seek to capture breakouts in either enabled direction.
• Exits can use fixed or trailing percentage targets, while an optional stop is placed at the channel midpoint.
• Order size is tied to strategy equity and separately configurable for long and short positions.
• The document warns that sideways conditions can produce false breakouts but supplies no performance evidence.

Tags

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