Dual Donchian Breakouts with Volatility Filtering and Partial Exits
Summary
This strategy uses slow and fast Donchian channels to define trend entries and exits. A close above the slow upper band can open a long, while a close below its lower band can open a short; both entries require the slow channel’s percentage width to exceed a volatility threshold. The faster channel supplies the opposing-band exit, and a fixed profit target can close part of a position.
The published defaults use 50 bars for the slow channel, 30 for the fast channel, a 3% width threshold, and a 2% target that exits half the position. The document also suggests testing alternative channel periods and volatility measures, adding entry filters, and considering trailing exits. It warns that breakouts can fail, stops may trigger repeatedly in sharp markets, and fixed targets can limit gains. A BTC/USDT futures backtest configuration is shown for January 2024, but no performance results are provided, so profitability across instruments or regimes is not established.
Key ideas
- Slow Donchian bands generate directional entries when price breaks out and channel width clears a volatility threshold.
- Fast Donchian bands provide exits when price crosses the opposite band.
- A fixed percentage target closes part of the position while the remainder stays open.
- False breakouts, repeated stop triggers, and limited gains from fixed targets are stated risks.
- The published backtest setup does not include performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.