millerrh

Donchian Breakout Strategy

This strategy buys when the Donchian Channel is broken to the upside and uses the lower Donchian Channel line as a trailing stop. You can also choose to use a moving average as a filter to keep you out of trades that are counter trend.

You can also configure which dates you want to backtest, so you can see how this behaves over specific time frames and market cycles.
Catatan Pelepasan: Added the ability to select different lookback periods for upper and lower bands. Results seem to be better with higher numbers for the upper band and lower numbers (tighter stops) for the lower band.
Catatan Pelepasan: Made the following changes:
  • Update to Pine v5
  • Cleaned up code
  • Added a high time frame moving average filter (so you can choose to focus only on the strongest stocks with longer term uptrends).
  • Added a table showing the Average Daily Range (ADR - which is equivalent to the Monthly Volatility indicator in the stock screener) to help you see how much a stock moves around on average.
  • Added the ability to filter out trades that are outside of a user-defined percentage outside of the ADR to focus on better risk/reward trades.
Catatan Pelepasan: The old adage is: "Cut your losers quick and let your winners run." So I figured a good tweak to this strategy would be to use a tighter Donchian channel as your initial stop until you are in profit, then use a larger channel to give the trade more room to breathe after that. So now this is an option that you can chose (but not the default).
Catatan Pelepasan: I discovered that when you have calculated colors in a script, it disables the ability for the user to change any colors on anything (even non-calculated colors). The ADR table uses calculated colors, so to bring back the ability for the user to control the display better, I've brought user controls for the colors for everything else (Donchian Channels, Moving Averages). I also upped the initial capital to 100k so that trades will appear on expensive instruments and futures.
Catatan Pelepasan: Added a new filter: If a moving average is sloping downward, it can ignore breaks of the DC Channel.

Note, it has a bug currently - it remembers the value of the DC channel the previous time the filter was true and will make a trade based on this previous (higher) value instead of resetting. Publishing this buggy version to seek help with fixing this and to be able to reset this value when the filter turns false.

Skrip sumber terbuka

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