Donchian Close Breakout
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Donchian Close Breakout trades breakouts of a price channel. The rule is the oldest one
in trend following and it is published in every textbook: when a bar closes
above the highest high of the preceding bars, buy; when one closes below the
lowest low, sell. Nothing about the signal is proprietary, and this page does
not pretend otherwise. What is being sold is the engineering around it.
How it trades
- Decisions are made on bar close only. The channel is measured on the bars
before the signal bar, so the bar that breaks out is never part of what it
broke.
- A hard stop travels in the same request as the entry. There is no window
in which a disconnection leaves a position unprotected, and there are no
hidden stops held inside the program.
- Every distance is a multiple of ATR on the chart's own symbol. The stop,
the optional target and the trailing stop are all sized that way, so one
setting means the same thing on a fast instrument and a slow one.
- The stop is never placed inside the broker's minimum distance, nor inside
the spread. Whichever of those is wider becomes the floor.
- One position at a time. It is never added to, never averaged, never
recovered. An opposite breakout closes the position, and opens the other way
if you allow it.
- Position size comes from the stop distance. Risk per trade is a
percentage of equity, converted through the symbol's own tick value, then
rounded down to the broker's volume step and clamped to its limits. A fixed
volume overrides it.
- A signal survives a closed market. When an order is not accepted because
the session has not opened, the intent is held and retried for the life of
that bar rather than discarded.
Read this before you set the risk
If the smallest volume your broker accepts already risks more than the
percentage you asked for, that smallest volume is used and a line saying so is
written to the Experts log. This happens on small accounts trading instruments
with a large contract size. Check the log after the first trades, and if the
figure it reports is more than you want to carry, the instrument is too large
for the account rather than the setting being wrong.
Where it is meant to run
These are recommendations, not restrictions. The program enforces no symbol and
no timeframe, and will run on anything.
- The stop is a multiple of ATR, so it works best where ATR is large compared
with the spread. On very fast timeframes the spread is a large share of the
stop, and that is a cost the strategy has to overcome on every trade.
- Higher timeframes produce fewer signals and wider stops. Lower timeframes
produce many signals and stops close to the spread.
- The channel length is the one setting worth thinking about first: shorter
reacts sooner and is wrong more often, longer waits and holds longer.
What it does not do
No grid. No averaging down. No hedging of its own positions. No hidden stops.
No dependence on a particular broker, account type or server.
Support through the product comments or MQL5 messaging.
