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Hi:
The original Donchian system was for futures, and was to be in the market at all times either long or short. I have previously posted that the trading band was 2 weeks, but it was actually 4 weeks. You enter long when today's close is greater than the highest high of the past 4 weeks. You enter short when today's close is lower than the close of the previous 4 weeks. There are no stops. Whether the previous 4 weeks were the previous 4 weekly hi/lows or whether they were just the prior 20 trading days was never clear.
This system is about 25 or 30 years old and has been extensively modified and tweaked. It is claimed that it is the basis for the "Turtles" system, and may in fact be so. I have the Performance System Plus plug-in, and it has two "Turtle" systems for both exploration and testing. They are simply very slight variations of the above.
Any break out system will work fine in a trending market and get whip lashed in a choppy market. It is learning when to apply it and when not to that gets interesting.
To find the pevious highest highs and lowest lows, use the Ref function with the HHV function for high, and the LLV function with low.
Jay
<<I`m interested in this system also, but I only know some basics that may or
maynot be correct.
I believe the Donchian bands are the highest high of the last n-periods and
the lowest lowest low of the last n-periods.
Stops are based upon 2.5 * ATR value , but I`m not quite sure about this. I
think the time period is 20 days and/or 55 days.
I`m new to using metastock 8.0 EOD, but how do I run the system tests so
that a buy signal is executed immediately (ie at a moving average crossover
for example), rather than at a close,open, high or low ? Seems to skresults.
How do I find a bar that has 2 previous "higher highs and higher lows" ?
Darren>>
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