Thanks for that Krog. I thought I would give you some feedback on how I got on with the new Donchian Shift Close trailing stop.
The logic works well but I found that it only really gave good results on large time frames. Here is about the best strategy I came up with:-
Strategy name: EURUSD1dayDSC
Forex Strategy Builder v2.64.0.0
Exported on: 18/10/2011 6:08:09 AM
Description:
Automatically generated on 11/10/2011 4:13 PM.
Out of sample testing, percent of OOS bars: 50%
Balance: 20045.00 USD (18/05/2011 11:25 PM Bar: 4852)
Market: EURUSD 1 Day
Spread in pips: 20.00
Swap Long in pips: 2.00
Swap Short in pips: -2.00
Commission per lot at opening and closing in pips: 0.00
Slippage in pips: 10
Maximum open lots: 100.00
Entry lots: 5.00
Adding lots: 1.00
Reducing lots: 1.00
Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 6
Tested bars: 5652
Balance: 424555 pips (434555.00 USD)
Minimum account: 0 pips (10000.00 USD)
Maximum drawdown: 34160 pips (34160.00 USD)
Time in position: 15 %
[Strategy Properties]
A same direction signal - Does nothing
An opposite direction signal - Closes the position
Permanent Stop Loss - None
Permanent Take Profit - 1400
Break Even - None
[Opening Point of the Position]
Bollinger Bands
Enter long at the Upper Band
Smoothing method - Smoothed
Base price - Close
MA period - 60
Multiplier - 2.57
Use previous bar value - Yes
[Opening Logic Condition]
Enter Once
[All] Enter no more than once a week
[Closing Point of the Position]
Donchian Shift Close
Exit long at the Lower Band
Base price - High & Low
Period - 11
Shift - 1
Vertical Shift - 5
Use previous bar value - Yes
Show High/Low Bands - Yes
Be careful, there is no stop loss!