Donchian Channel - trend filter

2021年4月18日

Strategy based on Donchian Trend filter indicator:

Which in turn is derived from custom Donchian Channel indicator:

Few extra paremters added:

EntryType

• Breakout : Entry on first confirmation of trend.
  
• Pullback : After confirmation of trend, wait till price comes back to mid band before entry.
  
• Combined: Prefer pullback entry. But, if price breaks higher band more often, then go long on breakout. Parameter EntryBreakoutStrength + TrendCountLimit is used for measuring repeated breakout and possibility of not getting pullback signal.
  

ExitType

• Reversal : Exit upon complete trend reversal
  
• Choppy : Exit when trend becomes neutral and candles are colored in silver
  
• Midband: Exit when price hits midband. Please note, this option should not be used in conjunction with EntryType - Pullback or Combined
  
• Combined: Uses UpCount/DownCount along with ExitMidBandRange and ExitChoppyRange values to determine where to exit. High UpCount or DownCount means, instrument has trended for long - in this case early exit is favourable. If TrendCount is higher than ExitMidBandRange, then exit upon touching MidBand. If TrendCount is higher than ExitChoppyRange, then exit when trend becomes choppy. If not, wait till reversal.
  

2021年4月18日

版本注释

Updated logic to resolve conflicts on MidExit and PullbackEntry

2021年4月18日

版本注释

Minor corrections in logic to avoid error.