Donchian-Style Breakouts with ATR Stops and Risk-Based Sizing
Summary
This trend-following strategy enters long when the close crosses above a prior rolling high and short when it crosses below a prior rolling low. It uses ATR-based stop distances, with a fixed stop tied to the entry and a trailing stop that follows favorable price movement. Position size is calculated using account equity and a stated maximum risk per position, with an adjustment for the number of instruments traded. The supplied parameters include breakout lookbacks and ATR periods and multipliers.
The document frames the design as a way to follow sustained moves while limiting per-trade risk, but its claims of accuracy and suitability are not supported by reported results. Backtest settings specify BTC/USDT futures over one month, without performance statistics. Stop distance, lookback choice, market noise, and trend reversals remain material risks. The source code should also be checked carefully before use: its sizing and stop logic are implementation-specific, and the accompanying prose does not establish that the intended risk limit is achieved in practice.
Key ideas
- Prior rolling highs and lows define the long and short breakout thresholds.
- ATR-based fixed and trailing stops are intended to manage risk and follow favorable movement.
- Position sizing uses account equity, a stated risk percentage, and the number of traded instruments.
- Short stop distances can exit positions during ordinary price noise, while reversals can still cause losses.
- A one-month backtest setup is given, but no performance statistics establish effectiveness.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.