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Donchian Channel Break Out strategy
Source: https://fxcodebase.com/code/viewtopic.php?f=31&t=2893
Forum: 31 · Topic 2893 · 74 post(s)
Donchian Channel Break Out strategy
Apprentice · Tue Dec 07, 2010 7:59 am
Basic Rules Enter on Long Channel Break Out. Exit on Short Channel Break In.
Buy’s on a break of the 55 day high (with a stop on the 20 day low) Sell’s on a break of the 55 day low (with a stop on the 20 day high).
Filter Option Added.
- Filter - Price / 1. MA
- Filter - 1. MA / 2. MA
- Filter - 1. MA Slope
Re: Donchian Channel Break Out strategy
cwallin · Tue Dec 07, 2010 9:56 am
Thanks for the quick response. I added the strategy and tried to backtest it, but nothing happened. I tried to attach a screenshot. I made sure “allow for trade” was set to ‘Yes’. Also, my program shut down twice while trying to load it.?
Re: Donchian Channel Break Out strategy
Apprentice · Tue Dec 07, 2010 10:37 am
Oops, you do not have a beta version. I have upload new version. This is probably working.
Re: Donchian Channel Break Out strategy
cwallin · Tue Dec 07, 2010 11:02 am
I did see results after backtesting, however, I am still getting closed out of program. Thanks!
Re: Donchian Channel Break Out strategy
Apprentice · Tue Dec 07, 2010 11:23 am
Did you download updated version? Strange. I think I’ll need to install the regular version
Re: Donchian Channel Break Out strategy
cwallin · Tue Dec 07, 2010 11:36 am
I deleted the previous download I had and downloaded the one at the top of this post. Is this the correct version? Thanks!
Re: Donchian Channel Break Out strategy
Apprentice · Tue Dec 07, 2010 1:19 pm
Yes Top Most is correct one.
Re: Donchian Channel Break Out strategy
cwallin · Tue Dec 07, 2010 6:10 pm
Alright, so now I can change parameters and time frames, etc.. However, after about 30 seconds to 1 minute or so, the program still closes on me. Any ideas? Thanks Again!
Re: Donchian Channel Break Out strategy
bbauernschmitt · Thu Dec 23, 2010 3:11 pm
Is there an easy way to add a long term directional filter (such as a 200 period EMA) to this strategy?
So, it only buys or sells breakouts in the direction of the LT trend.
Re: Donchian Channel Break Out strategy
Apprentice · Thu Dec 23, 2010 3:20 pm
Modification of this type is possible.
Re: Donchian Channel Break Out strategy
Leisure · Fri Dec 24, 2010 10:46 am
Is this set up for Marketscope charts?
I see nothing when backtesting nor do I see the channels…
Thanks,
Re: Donchian Channel Break Out strategy
BlueBloodedTrader · Tue Feb 15, 2011 6:19 pm
Is it possible to further develop this strategy to include the following:
- “Stop” set at a user defined multiple of the 20 period ATR.
- Keep the existing strategy to enter trade on break of one user defined Donchian channel (perhaps 55) and exit the trade on the break of another Donchian channel (perhaps 20) in the opposite direction (as is the case with this indicator currently). These entry and exit levels will be defined by the user.
- Trade will stop on the first of either the Stop defined in (1) being hit or the other Donchian Channel being touched as defined in (2).
- If a trade entry is successfully triggered then for each move of half the 20 day ATR in the money, a new trade is entered (upto 3 more trades making a maximum of 4 concurrent trades) and each time a new trade is opened the STOP, as defined by the calculation in (1), is recalculated based on the most recent trade to be opened and that STOP is used for all of the trades that are opened at that time. For example, the first trade is long at 1.3500 with a stop at 1.3400, and a second trade is subsequently opened long at 1.3550 with a stop at 1.3450, then the stop on the first trade is also moved to the 1.3450, and so on.
- If a trade is triggered as defined in (4) then, other than the set of upto 3 additional related trades that will be triggered if the price moves in the money, no additional trade entries will be triggered until this set of trades is closed (either by hitting the most recent STOP level as defined in (4) or by hitting the opposite Donchian Channel as defined in (2) for either a profit or a loss)
Thanks for your help with this.
Re: Donchian Channel Break Out strategy
Apprentice · Thu Feb 17, 2011 4:17 pm
Your request has been placed in a developmental cue.
Re: Donchian Channel Break Out strategy
fxprobie · Mon Feb 21, 2011 2:10 pm
Is it possible to modify or create an alternative to this? Ie create an alert when price crosses mid line of Donchian Channel?
Re: Donchian Channel Break Out strategy
Apprentice · Tue Feb 22, 2011 5:21 am
It is possible.
Re: Donchian Channel Break Out strategy
ancient-school · Fri Jun 17, 2011 1:30 pm
Hi,
Could you please add an option for the direction? i.e.:
Long Only Short Only Long & Short
will be Highly Appreciated if it can be done before Monday June 20 / 2011:) … !!!
Re: Donchian Channel Break Out strategy
Apprentice · Fri Jun 17, 2011 2:22 pm
Option Added
Re: Donchian Channel Break Out strategy
ancient-school · Fri Jun 17, 2011 3:24 pm
What to say now? No words!
Thank YOU … !!!
Re: Donchian Channel Break Out strategy
ancient-school · Sat Jun 18, 2011 3:58 pm
I wonder … Could you please add the option below? Just a little more control over the Strategy…
Options to De-Activate Strategy
**1. Trade Once
- Trade Continuously**
Option 1. “Trade Once” or more precisely worded, “Trade Till Stop Exit”
This Means it will Trade Once, as per Allowed Side, WILL take further positions if Allow Multiple is Set to YES. But if Stop Exit is Hit, Strategy is De-Activated
Option 2. “Trade Continuously”
This Option is as Strategy is functioning presently, i.e. it Trades all the time and according to All Options selected in Parameters.
I am aware I am overdoing it here now, but if this too can be done before Monday June 20 / 2011, will be Highly Appreciated … “Offer a Camel your hand, and it sure will take your arm” …
Much Obliged…
Re: Donchian Channel Break Out strategy
Apprentice · Sun Jun 19, 2011 7:20 am
It is possible. I hope that someone will find time soon.
Re: Donchian Channel Break Out strategy
ancient-school · Sun Jun 19, 2011 8:49 am
Hi,
Please review the code for Long Only, Short Only, Long & Short … These options are not being respected…
Much Obliged
Re: Donchian Channel Break Out strategy
vstrelnikov · Thu Jun 23, 2011 7:10 pm
There is a version with fixed Buy/Sell/Both issue attached. Top post will be updated after some testing.
Re: Donchian Channel Break Out strategy
ancient-school · Thu Jun 23, 2011 10:17 pm
Hi,
Thank you for the effort … Currently testing Long, Short, Both options, however one other issue I have noticed is that the Strategy interferes with other open positions of the instrument it is attached too, irrespective of whether the positions belong to the Strategy or not.
Would be good if the Strategy would strictly track and trade its own positions … i.e. not to interfere with other open positions not initiated by the Strategy itself.
Re: Donchian Channel Break Out strategy
ancient-school · Fri Jun 24, 2011 6:47 am
vstrelnikov wrote: There is a version with fixed Buy/Sell/Both issue attached. Top post will be updated after some testing.
Test Results
Now that the options for specific direction to trade are working, “Use Stop Exit” is not working …
i.e.: If “Stop Donchian Channel Period” has been breached by Price, Open Positions are not Closed using “Use Stop Exit: YES,” even if parameter for “Use Stop Exit” is set to Yes
Re-Cap: If “Allow Side” is set to either “Long Only” or “Short Only”… Parameter “Use Stop Exit: YES,” is not repected.
Re: Donchian Channel Break Out strategy
vstrelnikov · Tue Jul 05, 2011 3:35 pm
Would you please, try the attached version. “Exit stop” problem should be fixed here.
Re: Donchian Channel Break Out strategy
ancient-school · Tue Jul 05, 2011 6:30 pm
vstrelnikov wrote: Would you please, try the attached version. “Exit stop” problem should be fixed here.
Use Stop Exit on Central Line Crossover Does not work … Exit Works on High and Low Lines ONLY, and according to setting of “Stop Donchian Channel Period” Parameter …
Re-Cap - If Parameter: “Exit on Central Line Cross Over” is set to “Yes”; All Open Trades should be Exited if the Central Line of “Stop Donchian Channel Period” is Breached by Price
Thank you for fixing Stop Exit on High and Low Lines!
Re: Donchian Channel Break Out strategy
BlueBloodedTrader · Fri Jul 29, 2011 5:08 pm
can you introduce a directional bias so that trades are only taken in the direction of the trend? For example, long trades should be taken on breakouts of higher highs (not lower highs) and similarly short trades should be taken on breakouts of lower lows (not higher lows). This will improve the win trade ratio….”the trend is your friend”. What needs to be done is to look at the plateaus (horizontal parts of the donchian channels): if the breakout is of a horizontal upper channel that is higher than the last horizontal upper channel, then we have a higher high and a long trade should be entered….but if the breakout is of the horizontal upper channel that is lower than the last horizontal upper channel then the market is trending down and a long trade would not be desirable so none is entered. The same applies in reverse for the lower donchian channel and entries of short trades. Could you modify this please or publish a new version of this strategy with this improvement? Thanks
Re: Donchian Channel Break Out strategy
deetrader999 · Fri Jul 06, 2012 9:56 pm
Thanks. Can you make a strategy that enters on the big channel high or low? And only exits on the same big channel, high or low? Instead of the 2 channels. Everything else is fine. I thought of editing it myself but it looks complicated. Thank-You.
Re: Donchian Channel Break Out strategy
Apprentice · Mon Jul 09, 2012 6:49 am
Your request is already added to the list of development
Re: Donchian Channel Break Out strategy
automan · Wed Oct 10, 2012 3:15 pm
I see that the Donchian indicator is popular, downloaded more than 9000 times
Would it be possible to add an option to this strategy (or if there is a similar one) that to enter the trade on first tick that cross the channel? (High or low)
Now it enter the trade on close of the bar
Even if using 1 minute it can take multiple bars before close if the bar doesent close on high/low
Re: Donchian Channel Break Out strategy
automan · Wed Oct 10, 2012 3:26 pm
For example
If using 20 period donchian high and the high is on the 10th bar at 3900
then when the last alive bar cross the 3900 level the strategy should enter long on the first tick
Re: Donchian Channel Break Out strategy
automan · Thu Oct 11, 2012 1:17 am
An option to set the “analyze the current period” to no (as on the indicator) would solve the most of the problem
Then one can use 1 minute timeframe
Re: Donchian Channel Break Out strategy
Apprentice · Thu Oct 11, 2012 2:37 am
Your request is added to the development list.
Re: Donchian Channel Break Out strategy
Eric1704 · Wed Mar 06, 2013 2:05 pm
Can someone help me with a strategy too? It is based on Donchian Channels too. Could not figure out how to start a new topic under “Strategies”. Thanks.
Re: Donchian Channel Break Out strategy
Eric1704 · Wed Mar 06, 2013 9:02 pm
It goes something like this. The trend is determined by a 50 period SMA. If the Donchian Channels are trading above the 50 day SMA the trend is up and vice versa. For a long entry we want to see a bar trading completely inside the mid and lower Donchian Bands. Then we place a buy stop a tic or two above this bar. The reverse is true for a sell. Thank you.
Re: Donchian Channel Break Out strategy
Apprentice · Sat Mar 09, 2013 6:10 am
Your request is added to the development list. As for starting new topics. New requests should be poster under Indicator and Signal Requests, here. viewforum.php?f=27
Re: Donchian Channel Break Out strategy
yakimovevgeny · Wed Apr 03, 2013 4:24 am
Hi, Help me please. I have got one problem. I added the strategy and tried to backtest it but i am getting closed out of program while its backtesting process running. sorry for my bad english
Re: Donchian Channel Break Out strategy
Apprentice · Thu Apr 04, 2013 4:58 am
I made a backtest, with no problems. I have one task for you. Uninstall TS, Install new version, can be found on the FXCM website. If problems persist, share parameters that you use with us. Also send, crash report generated. For this, you need, to copy crash report from crash folder before closing the platform.
Re: Donchian Channel Break Out strategy
yakimovevgeny · Thu Apr 04, 2013 9:55 am
thanks for the response. i think i figure out the problem its due to trying to backtest the too much history data. now its ok everything is fine. and sorry for make a request if possible could you add 2 MA filter for example if fast MA > slow MA then only take buy signal etc
Re: Donchian Channel Break Out strategy
Apprentice · Sat Apr 06, 2013 4:40 am
Your request is added to the development list.
Re: Donchian Channel Break Out strategy
napitt · Wed May 01, 2013 10:44 pm
If I understand right, the option of allowing ticks is for entering the trade 1 tick after breaking the channel, instead of waiting for the bar that broke the channel to close. If so this option (allow ticks set to yes ) is not being honored by the strategy. No matter yes or no the strategy is waiting for the candle to close and entering on next candle.
If you find yourself with spare time and bored, nothing to do (yeh, right) could you please look into this? Best would be if we could choose how many pips after breaking channel before entering and exiting.
Love this strategy, but losing too many trades waiting for candle close, Thank you
Re: Donchian Channel Break Out strategy
Taskryr · Sun Jan 26, 2014 3:43 pm
Was the channel break issue every resolved? When I test I’m losing a lot of pips due to having to wait for the candle to close instead of the entry/exit on the break of the channel. Didn’t know if there was another link to a file that already addressed this issue.
Thanks,
Re: Donchian Channel Break Out strategy
Apprentice · Mon Jan 27, 2014 3:46 am
If you’re talking about Tick Version, with instantaneous executions, Unfortunately not. I have not found the time.
Re: Donchian Channel Break Out strategy
Stance · Thu Jul 30, 2015 9:31 pm
bbauernschmitt wrote: Is there an easy way to add a long term directional filter (such as a 200 period EMA) to this strategy?
So, it only buys or sells breakouts in the direction of the LT trend.
+1 can you please add a moving average filter to this strategy.
Re: Donchian Channel Break Out strategy
Stance · Fri Jul 31, 2015 5:50 am
bbauernschmitt wrote: Is there an easy way to add a long term directional filter (such as a 200 period EMA) to this strategy?
So, it only buys or sells breakouts in the direction of the LT trend.
With my limited programming knowledge I’ve managed to add in a moving average filter. Feel free to test it.
https://dl.dropboxusercontent.com/u/68353796/Donchian%20Strategy%20with%20Filters.lua
Re: Donchian Channel Break Out strategy
jetaro · Wed Aug 31, 2016 11:12 am
Stance wrote:
bbauernschmitt wrote: Is there an easy way to add a long term directional filter (such as a 200 period EMA) to this strategy?
So, it only buys or sells breakouts in the direction of the LT trend.
With my limited programming knowledge I’ve managed to add in a moving average filter. Feel free to test it.
https://dl.dropboxusercontent.com/u/68353796/Donchian%20Strategy%20with%20Filters.lua
Hi, this link doesn’t appear to work anymore, is it posted somewhere else?
Re: Donchian Channel Break Out strategy
Apprentice · Fri Sep 02, 2016 3:25 am
Major update. Filter Option Added.
- Filter - Price / 1. MA
- Filter - 1. MA / 2. MA
- Filter - 1. MA Slope
Re: Donchian Channel Break Out strategy
oldporkchops2 · Thu Nov 17, 2016 12:32 am
Dear Apprentice,
Thank you very much for helping to develop this powerful strategy.
When I did backtesting, it didn’t pick up any trades. Am I doing anything wrong? Here’s a screenshot of the parameters: http://screencast.com/t/hNXZFvV8
Could you please help share some ideal parameters?
Thanks.
Re: Donchian Channel Break Out strategy
jetaro · Thu Nov 17, 2016 4:32 pm
hi oldporkchops2, I just tried it with those settings and it did trade for me on the backtest.
what dates are you using? 10/1/2016 to 11/17/2016 on the GBP/USD.
also if you scroll down past what your screen shot shows make sure the times for trading aren’t restricting it. I have 00:00:00, 24:00:00, No, 23:59:00, 60 as the Time Parameters.
also you can trying opening the .LUA file, change this line from false to true, save it, then re install it.
strategy.parameters:addBoolean(“AllowTrade”, “Allow strategy to trade”, “”, false);
good luck!
Re: Donchian Channel Break Out strategy
jetaro · Thu Nov 17, 2016 6:34 pm
oh, also I discovered today that if my initial balance is too low it will not do any trades, which surprised me. I was pulling my hair out trying to figure out why the debugger was showing trades but not the backtester in marketscope. Then I changed the initial balance to a higher value and voila, it worked. I thought maybe it was because it was below the MMR, but it wasn’t. it was set to 100 and I was only trading 1 lot on the EUR/USD which has a $24 MMR.
Anyway, you can try setting your initial balance to 500 or 1000 and see if that fixes it too.
Re: Donchian Channel Break Out strategy
Apprentice · Sat Nov 26, 2016 7:51 am
I could not reproduce this issue. Try to increase the Max Number Of Open Position In Any Direction / Max Number Of Position In One Direction
Re: Donchian Channel Break Out strategy
Apprentice · Sun Dec 18, 2016 9:56 am
Strategy was revised and updated.
Re: Donchian Channel Break Out strategy
albertparis · Tue Dec 20, 2016 8:49 am
hello
Can add you
show close or high / low
thank you for your work
Re: Donchian Channel Break Out strategy
Apprentice · Thu Dec 22, 2016 1:38 pm
Strategys can not have indicator elements.
Re: Donchian Channel Break Out strategy
stainer · Thu Nov 02, 2017 7:10 pm
I am havinf some trouble with this strategy, It wont let me deselect Eur/Usd when back testing and even if I select another pair it only gives results for Eur/Usd.
I am trying to back test Gbp/Aud can someone have a look and see if this can be resolved as it would be extremely helpful.
Thanks
Re: Donchian Channel Break Out strategy
Apprentice · Tue Nov 21, 2017 7:00 am
Use Currency par selector.
Re: Donchian Channel Break Out strategy
chai88888 · Mon Apr 23, 2018 10:48 pm
can this strategy take a trade when it break upper and lower line continously like a quantum indicator?
open a trade when a candle breaks the line open a position at the close of the candle contiounsly and closes all trade when it reaches the centerline.
Re: Donchian Channel Break Out strategy
chai88888 · Tue Apr 24, 2018 4:42 am
like this
thanks
Re: Donchian Channel Break Out strategy
Apprentice · Fri May 18, 2018 5:24 am
Your request is added to the development list under Id Number 4142
Re: Donchian Channel Break Out strategy
Victor.Tereschenko · Wed May 30, 2018 9:19 am
chai88888 wrote: can this strategy take a trade when it break upper and lower line continously like a quantum indicator?
open a trade when a candle breaks the line open a position at the close of the candle contiounsly and closes all trade when it reaches the centerline.
This strategy already doing so. You need just to set “Max Number Of Open Position In Any Direction” and “Max Number Of Position In One Direction” to a higher value.
Re: Donchian Channel Break Out strategy
chai88888 · Thu Jun 14, 2018 2:08 pm
dear apprentice
can you add an option close all trades on the center line
thanks
Re: Donchian Channel Break Out strategy
iamdric · Sat Jun 23, 2018 12:43 am
Hi Apprentice,
I can’t seem to make it work the Buy on 55 Break out (Exit on 20 day Break out).
How to do the settings for this?
Rather, How to make it work the ‘Stop Donchian Channel Period’?
Thanks, Dric
Re: Donchian Channel Break Out strategy
Apprentice · Sat Aug 04, 2018 7:26 am
Your request is added to the development list under Id Number 4216
Re: Donchian Channel Break Out strategy
Apprentice · Tue Aug 07, 2018 8:34 am
can you add an option close all trades on the center line
Try this version.
Re: Donchian Channel Break Out strategy
chai88888 · Mon Aug 20, 2018 9:15 pm
hi apprentice
if the ma number of position is greater than 1.
it is possible that it will take a trade if the end of turn close candle is higher or slower than the previous
thanks
il post some examples thanks
Re: Donchian Channel Break Out strategy
Apprentice · Wed Aug 29, 2018 4:09 am
I’m not sure I understand, can you clarify?
Re: Donchian Channel Break Out strategy
chai88888 · Wed Aug 29, 2018 11:10 am
hi apprentice
lets say the price breakout on the high end of turn candle the next candle should be close higher than previous candle high to open a trade. and vice versa.
in short the current candle should CLOSE end of turn higher than the previous candle to open a trade position
thanks
Re: Donchian Channel Break Out strategy
chai88888 · Thu Jun 06, 2019 4:37 am
hi there can i request to add an option on tha doncahin channel strategy
enter long when the price close above the middle line enter short when the price close below the middle line
exit on the middle line or outer line
so basically when the price close above it will enter long then if the price goes below the middle line it will close the long and enter a short position thats when exit on the middle line
thanks
Re: Donchian Channel Break Out strategy
Apprentice · Sun Jun 30, 2019 6:15 pm
Your request is added to the development list under Id Number 4761
Re: Donchian Channel Break Out strategy
Apprentice · Mon Jul 01, 2019 12:33 pm
Try this version.
Re: Donchian Channel Break Out strategy
tuhadfe · Thu May 29, 2025 9:31 am
Hi
I dont understand this but this strategy works on the timeframe m1. but not on any other timeframes.
Trades trigger on the m1 but not on the other timeframes. Can you just tell me is there a setting that needs changing?
I have noticed this on other strategies can you tell me what is wrong?
Re: Donchian Channel Break Out strategy
Apprentice · Sun Jun 01, 2025 1:45 pm
We have added your request to the development list. Development reference 363
Re: Donchian Channel Break Out strategy
tuhadfe · Mon Jun 02, 2025 9:07 am
Hi
I am not looking for any development just wanting to know why this strategy and others are not executing on timeframes higher than m1. Works fine on m1 but not on others everthough the strategy allows you to choose higher timeframes. I just want to know is there some setting, I have incorrect. not looking for development?
Re: Donchian Channel Break Out strategy
Apprentice · Wed Jun 04, 2025 2:45 pm
I don’t have any issues on H1