Donchian Channels
Data regarding Donchian Channels.
What are Donchian Channels?
Developed by Richard Donchian, the "father of trend following." Simply the highest high and lowest low over N periods.
Upper = Highest High (N)
Lower = Lowest Low (N)
Middle = (Upper + Lower) / 2
Lower = Lowest Low (N)
Middle = (Upper + Lower) / 2
Turtle Trading Strategy
- Buy: Price breaks above 20-day high
- Sell: Price breaks below 20-day low
- Exit: 10-day opposite breakout