RESEARCH FRAMEWORK
Donchian breakout
A rules-first breakout framework based on new lookback extremes.
Only the measurements the rule needs
Donchian ChannelATRPosition sizing
Conditions before an entry exists
- Use a fixed entry lookback
- Size from current volatility
- Take both directions unless the filter is predeclared
ENTRY
Enter after or on a new N-period extreme according to one fixed execution convention.
STOP
Opposite shorter-lookback channel, fixed ATR distance or explicit time stop.
EXIT
Use a separately chosen exit lookback; do not optimise it on each pair.
DO NOT TRADE
Directionless compression with costs high relative to the expected move.
What has to happen before capital is at risk
1Include next-bar execution
2Model gaps and slippage
3Run parameter plateaus
4Test across several pairs
Report gross and net results, the full eligible sample, maximum drawdown, trade distribution and any rule changes. Then repeat on data that did not influence the design.
Use the same protocol every time.
The CSV test plan records eligibility, costs, execution, outcome and rule adherence without turning an example into a promise.
Download test-plan CSV ↓