Dual-Moving-Average Donchian Breakout with Supertrend Exits

Summary

This note describes a long-and-short trend-following model inspired by Andreas Clenow’s book. It uses the 50-period and 100-period exponential moving averages to define trend direction, then enters on a breakout beyond a 50-period channel based on prior prices. Long entries are placed as stop orders; short entries are made at market. A Supertrend value serves as the exit threshold for both sides.

The author says they coded the model as a learning exercise and discusses optional, commented-out additions that would add to winning positions as a trend develops. Those additions are not part of the core model. The note provides no independent backtest results, data universe, costs, or performance statistics; its comparison with CTA results is attributed to the book. The code’s order types also differ between long and short entries, and the shared stop variable’s handling should be checked before implementation. The description is therefore a strategy outline, not evidence that the model will perform similarly across markets.

Key ideas

• The 50-period and 100-period exponential averages determine whether the model seeks long or short trades.
• Entries follow breakouts beyond a 50-period channel calculated from prior prices.
• A Supertrend level is used to trigger exits on both long and short positions.
• The author considers adding to profitable positions, but marks that logic as optional and outside the core model.
• The note reports no reproducible backtest evidence for the author’s implementation.

Tags

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