Trend Following with Donchian Channels and MACD

2021年12月11日

This is a trend following system based on the Donchian Channels. Instead of using a simple moving average crossover, this system uses the MACD as the trendfilter:

Long positions:
* Price makes a new 50 day high,
* The MACD-line crosses above or is above the Signal-line.
* Both the MACD and the Signal-lines are above the zero-line.

Short positions:
* Price makes a new 50 day low,
* The MACD-line crosses below or is below the Signal-line.
* Both the MACD and the Signal-lines are below the zero-line.

Stoploss:
The initial and the trailing stoploss are 4 ATRs away from the price.

2021年12月11日

版本注释

Removed the MACD from the chart.
Changed entrycondition3 = macd and signal >/< hist to 0
Increased the pyramiding amount to 4 from 3

2021年12月11日

版本注释

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2021年12月13日

版本注释

Replaced the multiplier in the position size formula with syminfo.pointvalue in order to get a more accurate position size.

2021年12月13日

版本注释

-

2021年12月18日

版本注释

Reverted the pyramiding setting from 4 back to 1 to keep the system simple and the max drawdown low.
Added a visual ATR trailing stop, so you know where to put your stoploss.

2022年2月7日

版本注释

Adjusted the position size formula.
Improved the stoploss multiplier.