Trading Failed Donchian Breakouts with an ATR-Based Flip

Summary

This intraday strategy for DAX five-minute bars fades moves beyond a Donchian channel, aiming to profit when an apparent breakout fails. A close below the lower band opens a long position, while a close above the upper band opens a short. The channel is built from recent highs and lows, with the displayed bands shifted back one bar. The description presents this as a simple idea rather than a fully developed trading system.

The strategy has no conventional stop loss. If an open position moves adversely by ten times the specified ATR measure, it reverses direction in an attempt to catch a developing trend. A profit target is set at fifteen times an ATR measure, and positions are closed at 20:30 to avoid holding overnight. No money management or position sizing is supplied, and the document provides no performance results or validation. The stated optimization for one market and bar interval limits how readily the idea can be generalized.

Key ideas

• The strategy fades closes outside a Donchian channel to target failed breakouts.
• An adverse move of ten ATR triggers a reversal intended to follow an emerging trend.
• A profit target uses an ATR multiple, and trading ends at 20:30.
• The described setup omits money management and position sizing.
• No performance evidence is supplied, and the stated optimization is specific to DAX five-minute bars.

Tags

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