Combined donchian channels




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Combined donchian channelsCombined Donchian Channels | Trading Strategy (Entry & Exit)

I. Trading Strategy

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

II. Sensitivity Test

UpperChannelOne(Channel#1) is the highest high over a period of Channel#1. LowerChannelOne(Channel#1) is the lowest low over a period of Channel#1.