• Registered: 2007-09-03
  • Posts: 43

Topic: donchian strategy gives 7083 pips

Hello all

I tried donchian strategy with the following settings and got 7083 pips profit
Daily data
pip spread 4 pips
swap 1 pip
Enter long at Up band, high at 58 day high shift 1 day(in entry bar options, I did not use add indicator option, as I did not get the option there to enter on position higher than 58 day high)
Exit at level below 6 day low with shift of 3 day

I used optimeser of course.

I have a doubt. I used data from 1989, but euro came in much later, how is it the you have euro data from 1989?

I also want to add a stop loss, how do I add it?

  • Registered: 2007-09-03
  • Posts: 43

Re: donchian strategy gives 7083 pips

I would like to use donchian strategy with the following conditions
Enter long if position crosses 55 day high
enter short if position crosses 55 day low

Exit long if position crossed 20 day low
Exit short if position crosses 20 day high

Trailing stop of 30 pips

How do I make the entries in fores sb software

Thanks
Vivek
India

  • Popov
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Re: donchian strategy gives 7083 pips

Hello Vivek,
You are right about the early EURUSD data. It is not reliable.
I think the data earlier than 2000 is converted from DEMUSD by conversion  rate of 1.95583 Deutsche Mark per 1 Euro.

You can cut older data using the tool "Data Horizon" from the "Market" menu.

Forex Strategy Builder uses one slot as an exit point. That means your "Exit strategy" consists of one exit point only plus optional "Closing logic conditions" (in case of the closing point is "Bar closing"). So that you can use either "Trailing Stop" or "Donchian Channel" for exit point.

Example:

Forex Strategy Builder v2.5.3.1
Strategy name: New
Exported on: 9/13/2007 4:12:39 PM

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

Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 4528
Balance: 3234 pips
Minimum account: -858 pips
Maximum drawdown: 1333 pips
Time in position: 64 %

A same direction signal - Does nothing
An opposite direction signal - Does nothing

[Opening point of the position]
Donchian Channel
     Enter long at the Up Band
     Base price  -  High & Low
     Period  -  55
     Shift  -  0
     Use previous bar value  -  Yes

[Closing point of the position]
Donchian Channel
     Exit long at the Down Band
     Base price  -  High & Low
     Period  -  20
     Shift  -  0
     Use previous bar value  -  Yes

Popov's Website

  • Registered: 2007-09-03
  • Posts: 43

Re: donchian strategy gives 7083 pips

Dear Popov

The strategy is fine for long entry. What about short positions. I would like to take short positions as well. Can't I do bot strategies in one go?

Regards

Vivek
India

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Re: donchian strategy gives 7083 pips

I tested the strategy separately for long positions only and for short positions only.
It shows profit in both directions.

To separate the directions I  used "Long or Short" filter.

===================================

Forex Strategy Builder v2.5.3.1
Strategy name: New
Exported on: 9/13/2007 10:18:48 PM

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

Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 4528
Balance: 3032 pips
Minimum account: -364 pips
Maximum drawdown: 848 pips
Time in position: 31 %

A same direction signal - Does nothing
An opposite direction signal - Does nothing

[Opening point of the position]
Donchian Channel
     Enter long at the Up Band
     Base price  -  High & Low
     Period  -  55
     Shift  -  0
     Use previous bar value  -  Yes

[Opening logic condition]
Long or Short
     Open long positions only <----------------------------- Long entry only

[Closing point of the position]
Donchian Channel
     Exit long at the Down Band
     Base price  -  High & Low
     Period  -  20
     Shift  -  0
     Use previous bar value  -  Yes


==============================================

Forex Strategy Builder v2.5.3.1
Strategy name: New
Exported on: 9/13/2007 10:24:12 PM

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

Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 4528
Balance: 456 pips
Minimum account: -538 pips
Maximum drawdown: 1546 pips
Time in position: 33 %

A same direction signal - Does nothing
An opposite direction signal - Does nothing

[Opening point of the position]
Donchian Channel
     Enter long at the Up Band
     Base price  -  High & Low
     Period  -  55
     Shift  -  0
     Use previous bar value  -  Yes

[Opening logic condition]
Long or Short
     Open short positions only <----------------------- Short entry only

[Closing point of the position]
Donchian Channel
     Exit long at the Down Band
     Base price  -  High & Low
     Period  -  20
     Shift  -  0
     Use previous bar value  -  Yes

============================================

Are you missing that the FSB tests in both direction simultaneously?

You need to enter the logic for the long positions and FSB automatically makes the short one for you. 

When you set long entry point at the Upper Band FSB sets the short entry point at the Lower Band.
The long exit at the Down Band of "Donchian Channel 20" means - close the short at the Upper Band.

If you mean that the profit from the short positions is lower than the profit from the longs - the explanation is that this strategy is trend following and because of the strong raise of EURUSD it is normal for the long positions to bring more profit.

If you need more info do not hesitate to ask!

Popov's Website

  • Registered: 2007-09-03
  • Posts: 43

Re: donchian strategy gives 7083 pips

Thanks Popov

I have a problem here. For the long positions high band is 55 day high(enter long), low is 20 day band(exit long)
For short positions Low is 55 day band(enter short on 55 day low) and high is 20 day band(exit short on 20 day high.

Does normal Donchian set up allow this

In addition to this I would also like to set a stop loss of 100 to 150 pips. How do I do that.

This was done by the most successful traders like Richard Denis in Chicago.


Regards

Vivek
India

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Re: donchian strategy gives 7083 pips

The current version of FSB can use one exit strategy (a set of exit point and exit triggers) only.
Because of that you have to choose either Donchian Channel or Trailing Stop.

Popov's Website

  • Registered: 2007-09-03
  • Posts: 43

Re: donchian strategy gives 7083 pips

I have a clarification about the donchian channel. Does it use high low or moving averages? I read some where that Richard Donchian used 20 and 5 day moving averages to follow trends.

What does forexsb use?

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Re: donchian strategy gives 7083 pips

"Donchian Channel" indicator integrated in FSB uses the highes High within a period to determine the Up Band and the lowest Low within the same period fo Down Band. Additionaly you can shift the values by using the "Shift" parameter.

To check this set the "Period" to 1 and you will see that the "Donchian channel" points the current High / Low. Alter the Period and the Shift values and you will see what happens on the chart.

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  • Registered: 2007-09-03
  • Posts: 43

Re: donchian strategy gives 7083 pips

thanks for the prompt answer.
I have a strategy for sideways markets called Entry point Index.
EPI=(H-Price)/(H-L). H and L represent high and low of chosen day number say 55.
We enter at a level above 0.8 and exit at a level below 0.2.
It works every time in the stock market.
Can you test it out for me in forex markets? can you get it into forexsb?

It would be great if you could get introduction of new strategies to be menu based so that we could create strategies using variables without much code to write. Its great now, but  cant introduce new calculations.

Regards

Vivek

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Re: donchian strategy gives 7083 pips

It is not ptoblem to add this indicator to the next eddition of FSB.

If you heve the full formula or a link with explination. please post it.

From this: EPI=(H-Price)/(H-L). is not clear what values are from the current day and waht are from "n" bars ago. Also, this value can be negative but from your proposal to trade at 0.2 and 0.8 I assume it has to be between 0.00 and 1.00.

Send me the full formula please!

Popov's Website

  • Registered: 2007-09-03
  • Posts: 43

Re: donchian strategy gives 7083 pips

H and L values are high low values for 55 day period or any other period chosen
Price is from current day
Yes values can be slightly negative or slightly greater than 1. No problem

This is the full formula

You can rework this as follows

For entry long(exit short) price should be below price=H-0.8*(H-L)
For entry short(exit long) price should be above price=H-0.2*(H-L)
We can frame indicators accordingly to program entry and exit signals

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Re: donchian strategy gives 7083 pips

I'm not pretty sure about the formula. If you can provide a link to additional info will be better. I haven't found any info in the net about this indicator.

I'll make some tests, but I cannot afford to publish this without more info and ability to compare the test results. 

You are welcome to send us other requests for indicators and logics.

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