Donchian Channel Break Out strategy

Strategies are published here.

Moderator: admin

Re: Donchian Channel Break Out strategy

Postby napitt » Wed May 01, 2013 10:44 pm

If I understand right, the option of allowing ticks is for entering the trade 1 tick after breaking the channel, instead of waiting for the bar that broke the channel to close.
If so this option (allow ticks set to yes ) is not being honored by the strategy.
No matter yes or no the strategy is waiting for the candle to close and entering on next candle.

If you find yourself with spare time and bored, nothing to do (yeh, right) could you please look into this? Best would be if we could choose how many pips after breaking channel before entering and exiting.

Love this strategy, but losing too many trades waiting for candle close,
Thank you
napitt
 
Posts: 7
Joined: Sun Oct 30, 2011 1:09 pm

Re: Donchian Channel Break Out strategy

Postby Taskryr » Sun Jan 26, 2014 3:43 pm

Was the channel break issue every resolved? When I test I'm losing a lot of pips due to having to wait for the candle to close instead of the entry/exit on the break of the channel. Didn't know if there was another link to a file that already addressed this issue.

Thanks,
Taskryr
 
Posts: 41
Joined: Fri Nov 01, 2013 4:40 pm

Re: Donchian Channel Break Out strategy

Postby Apprentice » Mon Jan 27, 2014 3:46 am

If you're talking about Tick Version, with instantaneous executions, Unfortunately not.
I have not found the time.
User avatar
Apprentice
FXCodeBase: Confirmed User
 
Posts: 17407
Joined: Thu Dec 31, 2009 11:59 am
Location: Zagreb, Croatia

Re: Donchian Channel Break Out strategy

Postby Stance » Thu Jul 30, 2015 9:31 pm

bbauernschmitt wrote:Is there an easy way to add a long term directional filter (such as a 200 period EMA) to this strategy?

So, it only buys or sells breakouts in the direction of the LT trend.


+1 can you please add a moving average filter to this strategy.
Stance
FXCodeBase: Initiate
 
Posts: 141
Joined: Mon Jun 01, 2015 4:34 pm

Re: Donchian Channel Break Out strategy

Postby Stance » Fri Jul 31, 2015 5:50 am

bbauernschmitt wrote:Is there an easy way to add a long term directional filter (such as a 200 period EMA) to this strategy?

So, it only buys or sells breakouts in the direction of the LT trend.


With my limited programming knowledge I've managed to add in a moving average filter. Feel free to test it.

https://dl.dropboxusercontent.com/u/68353796/Donchian%20Strategy%20with%20Filters.lua
Stance
FXCodeBase: Initiate
 
Posts: 141
Joined: Mon Jun 01, 2015 4:34 pm

Re: Donchian Channel Break Out strategy

Postby jetaro » Wed Aug 31, 2016 11:12 am

Stance wrote:
bbauernschmitt wrote:Is there an easy way to add a long term directional filter (such as a 200 period EMA) to this strategy?

So, it only buys or sells breakouts in the direction of the LT trend.


With my limited programming knowledge I've managed to add in a moving average filter. Feel free to test it.

https://dl.dropboxusercontent.com/u/68353796/Donchian%20Strategy%20with%20Filters.lua

Hi, this link doesn't appear to work anymore, is it posted somewhere else?
jetaro
 
Posts: 29
Joined: Wed Aug 24, 2016 8:45 am

Re: Donchian Channel Break Out strategy

Postby Apprentice » Fri Sep 02, 2016 3:25 am

Major update.
Filter Option Added.
1. Filter - Price / 1. MA
2. Filter - 1. MA / 2. MA
3. Filter - 1. MA Slope
User avatar
Apprentice
FXCodeBase: Confirmed User
 
Posts: 17407
Joined: Thu Dec 31, 2009 11:59 am
Location: Zagreb, Croatia

Re: Donchian Channel Break Out strategy

Postby oldporkchops2 » Thu Nov 17, 2016 12:32 am

Dear Apprentice,

Thank you very much for helping to develop this powerful strategy.

When I did backtesting, it didn't pick up any trades. Am I doing anything wrong? Here's a screenshot of the parameters: http://screencast.com/t/hNXZFvV8

Could you please help share some ideal parameters?

Thanks.
oldporkchops2
 
Posts: 3
Joined: Thu Nov 17, 2016 12:09 am

Re: Donchian Channel Break Out strategy

Postby jetaro » Thu Nov 17, 2016 4:32 pm

hi oldporkchops2, I just tried it with those settings and it did trade for me on the backtest.

what dates are you using? 10/1/2016 to 11/17/2016 on the GBP/USD.

also if you scroll down past what your screen shot shows make sure the times for trading aren't restricting it. I have 00:00:00, 24:00:00, No, 23:59:00, 60 as the Time Parameters.

also you can trying opening the .LUA file, change this line from false to true, save it, then re install it.

strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", false);

good luck!
jetaro
 
Posts: 29
Joined: Wed Aug 24, 2016 8:45 am

Re: Donchian Channel Break Out strategy

Postby jetaro » Thu Nov 17, 2016 6:34 pm

oh, also I discovered today that if my initial balance is too low it will not do any trades, which surprised me. I was pulling my hair out trying to figure out why the debugger was showing trades but not the backtester in marketscope. Then I changed the initial balance to a higher value and voila, it worked. I thought maybe it was because it was below the MMR, but it wasn't. it was set to 100 and I was only trading 1 lot on the EUR/USD which has a $24 MMR.

Anyway, you can try setting your initial balance to 500 or 1000 and see if that fixes it too.
jetaro
 
Posts: 29
Joined: Wed Aug 24, 2016 8:45 am

PreviousNext

Return to Custom Strategies

Who is online

Users browsing this forum: Bing [Bot] and 3 guests