Donchian Channel Breakouts with Center Stops and Trailing Exits

Summary

This strategy uses a Donchian channel, calculated from recent highs and lows, to define breakout entries and exits for both long and short positions. The midpoint serves as the stop level, while take-profit levels are placed beyond the channel boundaries. Position size is scaled using the distance between the channel edge and midpoint, with separate risk inputs for each direction. A date filter can restrict when trades are allowed.

The document describes tracking both stops and targets and lists configurable channel length, risk, and target settings. Its prose says entries occur when price breaks beyond a channel and then returns inside; the included source instead places stop entries at the channel boundaries, so the precise entry behavior is not fully consistent. The published backtest settings specify Binance BTC/USDT futures over a stated period, but no performance results are provided. The notes identify parameter sensitivity, wider stop exposure, and premature trailing exits in volatile conditions as risks; the backtest configuration alone does not establish profitability.

Key ideas

• The Donchian channel’s recent high and low define breakout levels, and their average is used as a central reference.
• Long and short positions have separate risk-based sizing calculations and target levels beyond the channel.
• The described stop level is the channel midpoint, while tracking logic can adjust exits.
• The prose entry description differs from the source’s channel stop-entry orders, creating ambiguity about the exact trigger.
• The document gives backtest settings but reports no measured performance.

Tags

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