The Donchian Channels (Amibroker Code And Tradestation Code)

The original article can be found here.

The strategy in plain English:

The strategy is based on the “upside down” version of Donchian Channels mentioned in the article, ie. we buy on a breakdown of the lower channel/band.

1. Create a lower band of the lowest low over the last 5 days.
2. If the close crosses below the lower band, go long at the close.
3. Sell at the close when the close is higher than yesterday’s close.

The Donchian Channels with optimization (Amibroker code):

oddis=Optimize(“days”,40,10,50,5);
oddis1=Optimize(“days”,20,10,50,5);
DonchianUpper=HHV(H,oddis);
DonchianLower=llV(l,oddis1);
DonchianMiddle=MA((DonchianUpper+DonchianLower)/2,20);
Plot(DonchianUpper,”DonchianUpper”,colorRed,styleLine);
Plot(DonchianLower,”DonchianLower”,colorRed,styleLine);

Buy= Cross(Close,Ref(DonchianUpper,-1));
buyPrice=Close;
Sell=Cross(Ref(DonchianLower,-1),Close);
sellPrice=Close ;

The code for the best and optimized option looks like this:

DonchianLower=llV(l,5);

Buy= Cross(Ref(Donchianlower,-1),Close);
buyPrice=Close;
Sell=Close>Ref(H,-1);
sellPrice=Close ;

Tradestation code:

 

If c crosses under lowest(low,5)[1] then buy this bar at close;

If c > h[1] then Sell this bar at close;