Donchian Channel Breakouts with Midpoint Exits

Summary

This strategy uses rolling highest-high and lowest-low bands to identify breakouts. A close above the previous highest high opens a long position; a close below the previous lowest low opens a short position when shorting is enabled. Positions exit when price crosses the midpoint between the current bands. The lookback periods for the upper and lower bands can be set separately, and an optional fixed-percentage stop-loss is available. The strategy can also be configured for long-only trading.

The document describes the trading rules and provides a script, but reports no backtest results or performance evidence. It characterizes the approach as potentially suited to trending instruments and suggests that long-only operation may fit some markets better, without supplying supporting data. Breakout systems can be vulnerable to false signals and losses in sideways markets; the document advises adding risk controls and evaluating settings for each instrument. Its final caution is truncated, so the full qualification is unavailable.

Key ideas

• Long entries follow closes above the prior rolling high, while short entries follow closes below the prior rolling low.
• Positions exit when price crosses the midpoint of the channel.
• The strategy supports long-only or long-short operation and an optional fixed-percentage stop-loss.
• The document provides a trading idea but no results establishing profitability or robustness.

Tags

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