As an entry and exit rule, it looks nice.

Sample strategy:
Forex Strategy Builder V 2.4.0.3
Strategy name: Donchian Channel
Exported on: 4/13/2007 22:45:56

Market: USDJPY 1 Day
Spread: 4 pips
Swap Number: 1 pip

Balance: 6469 pips
Minimum account: -39 pips
Maximum drawdown: 187 pips
Time in position: 50 %

The same direction signal - does Nothing
The opposite direction signal - does Nothing

[Opening point of the position]
Donchian Channel
     Open long at the Up Band
     Period  -  5

[Closing point of the position]
Stop Limit
     Stop  -  -20
     Limit  -  30

As a filter, it is useless - Forex rarely gaps and then only on weekends.
BUT if you add "shift" parameter to the indicator, then, it will be useful as a filter - imagine the channel shifted to the right, and then you will see that prices can be below the channel for a long time.
This is a less conventional use, but nonetheless a good one.

I'm not sure for its behavior like a filter. Theoretically the opening price of the bar has to be always between the bands. Only if we have a big gab the bar opens outside the  Donchian Channel.

See this:

Forex Strategy Builder V 2.4.0.3
Strategy name: New
Exported on: 4/13/2007 10:32:46 PM

Market: EURUSD 1 Day
Spread: 4 pips
Swap Number: 1 pip

Balance: 113 pips
Minimum account: -612 pips
Maximum drawdown: 720 pips
Time in position: 2 %

The same direction signal - does Nothing
The opposite direction signal - does Nothing

[Opening point of the position]
Bar Opening
     The market entry is at the beginning of the bar
     Base price  -  Open

[Opening logic condition]
Donchian Channel
     The current bar opens below the Down Band
     Period  -  10

[Closing point of the position]
Bar Closing
     The market exit is at the end of the bar
     Base price  -  Close

We open outside of the band and we close at the bar closing.

If you think it is normal I'll live like that. (the other is to remove the filters )

Other suggestions?

You may want to add "shift" parameter to it, as you have with other indicators.

About Donchian Channel. I'll make it to work as a filter also.
- Open long when the bar opens below the up band
.......
......

Thanks!

Calculation:
DonchianChaannelHighBand( Bar ) = HighestHigh( Bar, N )
DonchianChaannelLowBand( Bar ) = LowestLow( Bar, N )

Where N is the lookback period

Of course, "no lookahead" rules apply here, so in the above example, you are allowed to buy only at Bar+1