Donchian Low and WMA Breakout Strategy with Long-Only Entries

Summary

This strategy seeks upward breakouts by comparing a rolling Donchian low with a weighted moving average of closing prices. It enters long when the Donchian low crosses above the WMA during 2025, and exits at a profit target, on a qualifying cross below the WMA, or outside the specified calendar window. It uses underlying OHLC data even when the chart displays transformed candles, and describes full-equity position sizing without pyramiding.

The document explains the indicators and entry and exit rules, but supplies no performance results to validate its claims. It notes that the parameters were intended for a particular Australian stock and 30-minute chart, while the published backtest settings instead specify daily Bitcoin futures data and an interval that ends in June 2025. The strategy is long-only, has no explicit stop-loss, and may be sensitive to market and parameter choices; the document suggests volatility-based stops and other filters as possible extensions.

Key ideas

• A long entry occurs when the rolling Donchian low crosses above the WMA within the 2025 date filter.
• Exits can be triggered by a profit target, a qualifying cross below the WMA, or the end of the date window.
• Indicator calculations use underlying OHLC values, including on charts that display transformed candles.
• The strategy has no explicit stop-loss and trades only long, leaving downside and falling-market risks.
• The described market-specific tuning does not match the instrument and timeframe in the published backtest settings.

Tags

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