CodeForTraders

...writing great code so you don't have to

Double Donchian Breakout

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 #P_DblDonchian_01 strategy.
  • The #P_DblDonchian indicator.
  • Complementary bar color and strategy equity indicators
  • A TradeStation workspace (created in TS 8.1, Build 3006)  to help you "load and go"

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:

img

Features

  • Variable "outer" and "inner" channel widths
  • Variable minimum inner channel width
  • Time stop (# of bars) and special IOG close-based trailing stop for outer channel
  • IOG stop-loss and trailing stop for inner channel
  • Stops settable in points or MinMoves
  • Stop trading on variable WinsToday goal
  • Variable time window for trade entries
  • Extensive (optional) logging of strategy states and actions
  • Cooperating indicator which syncs to strategy channel length inputs

What It Costs

$350 - (less than the cost of 3 hours of custom programming time) for this powerful research tool and professionally coded IOG stop-entry demonstration code.

Double Donchian Breakout -   $350  

How You Get It

This package will be emailed to you after your PayPal payment is processed.  Please be aware of the caveats before you order.