Package: Double Donchian Breakout
The
Donchian Breakout is a well-known and
famous trading technique. Simply put, a Donchian Channel is defined over some number of bars
(e.g. 40), and the trader goes long (with a stop
entry) when the price exceeds the highest channel
price, and goes short (with a stop entry) when the
price falls below the lowest channel price.
The
great merit of trading the Donchian Breakout is that
you cannot miss a big move.
The
difficulty of trading the Donchian Breakout is that
many of the breakouts fail, and the market congests.
This leads to a low percentage of wins, creating
drawdowns which can be
psychologically difficult to endure.
What It Is
This
Double Donchian strategy adds congestion trading on
an inner channel to the basic "big ride" breakout
so as to offer the chance to offset the losses that
occur when the outer channel breakout fails.
The
strategy implements two channels, a long period, or Donchian channel, and a short period inner channel.
Breakouts of the Donchian channel have priority and
are always traded in the direction of the breakout.
Donchian breakout trades are exited either via the
built-in trailing stop, or via a time stop (# of
bars).
Once
a Donchian breakout trade ends, the direction of
that trade is considered to be the current market
bias. At this point the "inner channel"
entries kick in. The inner channel entries
trade in the same direction as the last Donchian
breakout, but not until the market retraces to the
opposite side of the inner channel.
All
entries are done with stop entry orders, and this
strategy is written especially to take advantage of
TradeStation's IntrabarOrderGeneration (IOG) feature.
About IntrabarOrderGeneration
TradeStation's IOG capability, introduced in TS 8.1,
allows properly written code to have awareness of
the state of a chart bar during the process of it's
forming. At a selectable interval
"inside-the-bar" a strategy has the ability to do
calculations and issue orders.
Using IOG requires knowledge and proper use of a new
class of variable, known as "IntrabarPersist".
This strategy is IOG-aware (indeed, IOG is
required to be ON for proper operation), and
offers a very insightful logging capability which
essentially x-ray's the IOG process for you, as well
as an in-depth demonstration of the use of
IntrabarPersist variables.
What You Get
The
Double Donchian Package is delivered as
full
source code, so you can see exactly how
it is done and customize it for yourself in the
future if you should ever feel the desire to do so.
The
Double Donchian Package works with stocks, futures,
and FX on weekly, daily and intraday
charts, with TradeStation® 8.1, or later.
And, of
course, you get
Customer Support as needed to get it all
running.
What It Looks Like
Here's a picture showing how the Double Donchian
trades congestion in the direction of the last major
breakout:
Features
