Double Donchian Trading system is a Breakout trading system inspired from Richard J.Dennis. Donchian channels were developed by Richard Donchian, a pioneer of mechanical trend following systems. Double Donchian trading system is a turtle trading strategy.Curtis Faith in his book Way Of The Turtle describes a variation of the Donchian system used by the legendary Turtle Traders.
Long Entry Rules
Long Entry is made whenever candlestick breaks the outer upper Donchian Channel for the first time on the upper side.
Short Entry Rule
Short Entry is made whenever candlestick breaks the outer Lower Donchian Channel for the first time on the lower side.
Long Exit Rules
Long Entry is made whenever candlestick breaks the inner lower Donchian Channel for the first time on the lower side.
Short Entry Rule
Short Entry is made whenever candlestick breaks the inner upper Donchian Channel for the first time on the upper side.
The Buy and Sell Rules are represented as
Buy = H>Ref(DonchianUpper1,-1);
Short = L<Ref(DonchianLower1,-1);
Cover = H>Ref(DonchianUpper2,-1);
Sell = L<Ref(DonchianLower2,-1);
Further Exrem is used to eliminate the subsequent signals other than the first breakout signal.
The entry and exit signals on the charts are marked as follows
Long Entry – Green Arrow , Short Entry – Red Arrow, Long Exit – Green Star, Short Exit – Red Star
Which is the ideal timeframe to follow?
5min, 10min, 15min timeframes for Stocks/Indices. 10min,15min,30min for commodities
What is the Max Winning ratio i can expect?
anywhere between 40-45% across different timeframes.
Can i use the parameter for my studies in other stock/Indices
This parameter is optimized for Nifty and Bank Nifty. Do your own studies and observation with different parameters.
What is the benifit of trading this system?
It is a low risk trading system with the Max Drawdown% of 13% with 2 lots of Nifty and 2 Lakhs of capital(brokerage included)