Donchian channel




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Donchian channelDonchian Channel | Trading Strategy (Entry & Exit 2)

I. Trading Strategy

Developer: Richard D. Donchian. Concept: Trading strategy based on Donchian Channels. Research Goal: Performance verification of the channel entry and ATR stop. Specification: Table 1. Results: Figure 1-2. Trade Entry: Long Trades: A buy stop is placed one tick above the Donchian Channel (i. e. UpperChannel[i ? 1]). Short Trades: A sell stop is placed one tick below the Donchian Channel (i. e. LowerChannel[i ? 1]). Index: i

Current Bar. Trade Exit: Table 1. Portfolio: 42 futures markets from four major market sectors (commodities, currencies, interest rates, and equity indexes). Data: 32 years since 1980. Testing Platform: MATLABĀ®.

II. Sensitivity Test

IV. Rating: Donchian Channel | Trading Strategy