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Hello Bryan.
Your email has elements of two different systems attributed to Donchian. The
code you attached is the simplest possible version using so-called Donchian
Bands, which have to be broken to initiate an entry.
The descriptive paragraph you quoted is a completely different system that
uses a complex set of moving average rules and previous highs/lows. I have
as yet no experience with it.
If you want to get a good "jump start" on some Donchian systems that work
right out of the box, try the book "The Ultimate Trading Guide" by Hill
Pruitt. Includes code etc.
Attached is some code to plot a Donchian channel.
Best regards,
Gene Pope
----- Original Message -----
From: "Bryan K. Mulholland" <speculator@xxxxxxxxxxxxx>
To: "Omega-List (E-mail)" <omega-list@xxxxxxxxxx>
Sent: Friday, July 20, 2001 9:17 PM
Subject: Donchian's Indicators & Systems
> Hello Everyone,
>
> Listening to all the talk about great trading systems, I have searched for
> a indicator that was brought to my attention by another poster in the
list.
> I found this in one of my many books, but I have not found any ELA's as of
> yet. WWW search engines revealed nothing.
>
> This is a quote by Mr. Perry Kaufman from "Trading System and Methods"
> " The Donchian's idea is to use the volatility-penetration criterion
> relative to the 20-day moving average, but with some added complication.
The
> current penetration must not only cross the 20-day moving average but also
> exceed any previous 1-day penetrating of a closing price by at lease on
> volatility measure.
> The 5-day moving average serves as a liquidation criterion (along with
> others) and is modified by the prior penetration and volatility. These
> features tend to make Donchian's volatility measurement self adjusting.
Even
> if selected poorly, the new determination must exceed prior breakouts;
> without through testing, it maybe difficult to determine which rule has
more
> significance. To maintain a human element , Donchain requires execution of
> certain orders to be delayed a day if the signals occurred on specific
> weekdays or before a holiday."
>
> This is all that I have with the Donchian's ideas, which I know is pretty
> pathetic. Does anybody have any other Donchian's ELA's?
>
> {******************************************************
> Donchain Channel Breakout System
> From: TS Express (Sept/Oct 1999)
> *******************************************************}
> Inputs: Len(40);
> Buy Highest(High, Len) Stop;
> Sell Lowest(Low, Len) Stop;
>
>
> I had my H.D.D. crash on me resulting in two years of info gone. I backed
> up some data, but the result was still catastrophic. To get to the point,
> for all my friends that I have met through the Omega-List, sorry that I
> haven't contacted you.
>
>
> Aloha,
> Bryan K. Mulholland
> Honolulu, Hawaii
>
>
Attachment:
Description: "Donchian Indicator code.rtf"
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