How the strategy works
| Rule | How it works |
|---|---|
| Long entry | A daily bar closes above the highest high of the 20 bars before it. |
| Short entry | Off by default. When turned on, a bar closes below the lowest low of the 20 bars before it. |
| Stop | 2 x ATR(20) from the close of the signal bar, set when the trade opens. A setting turns it off. |
| Exit | A long closes when a bar closes below the lowest low of the 10 bars before it; a short when a bar closes above the 10-bar high. There is no profit target, so a winning trade stays open until the exit channel or the stop is reached. |
| One position | The strategy never adds to a position. After an exit-channel close it waits for the next bar before it can enter again; after a stop it can enter on the same bar if that bar breaks out. |
| Position size | 100% of the simulated account per trade, one position at a time. |
There is no trend, volume or volatility filter, so the strategy takes every 20-bar breakout, including those in sideways markets, where most fail.
When signals fire
- Written for the daily chart, where the 20/10 rules come from. It runs on any timeframe, but 20 bars on a short timeframe cover far less time and give many more false breakouts.
- The channels and the signals use confirmed bars only. A move beyond the channel that reverses before the bar closes does not open a trade.
- Backtests fill orders at the close of the signal bar. Live market orders fill after the close, at the next available price, so live results can differ.
Backtest assumptions
| Setting | Default | Note |
|---|---|---|
| Initial capital | 10,000 | In the quote currency of the market tested |
| Size per trade | 100% of equity | One position at a time |
| Pyramiding | 1 | One open entry per direction |
| Commission | 0.1% per order | Binance spot taker fee at the base tier |
| Slippage | 1 tick | A minimal estimate for market orders |
| Fill timing | Bar close | Orders fill at the close of the signal bar |
You can change all of these in the backtest settings.
Settings
| Input | Default | Range |
|---|---|---|
| Entry channel length | 20 | 2 to 400 |
| Exit channel length | 10 | 1 to 400 |
| Use ATR stop | On | On or off |
| ATR length | 20 | 1 to 100 |
| ATR stop multiplier | 2 | 0.1 to 10 |
| Allow short trades | Off | On or off |
| Equity per trade (%) | 100 | 1 to 100 |
Backtest results
Backtest results for this strategy are coming soon. They will show the market, timeframe, date range and assumptions used. A simulated test of the same rules on BTC/USDT daily candles since 2017 is in the Donchian Channel strategy guide.
Past performance does not guarantee future results.
Risks and limitations
- Most breakouts fail. Expect long runs of small losses between the few trends that pay for them.
- There is no target, so open profit is given back before the exit channel is reached.
- Short trades need margin or futures. On a spot account, leave short trades off.
- Bar-close fills in backtests are more favourable than live market orders.
- This strategy is a starting point, not financial advice. Test it on paper before trading live.
How to use it in Altrady
- Sign in to your Altrady account to run strategies. Sign in
- Open a daily chart and adjust the settings and backtest assumptions to your market.
- Run a backtest and review the results.
- Paper trade, then connect it to a Signal Bot when you are ready.
- For how the channel works, position sizing and a simulated test on nine years of BTC, read the guide. Donchian Channel strategy guide
Frequently asked questions
It buys when price closes above the highest high of a lookback, 20 bars here, and sells when price closes below the lowest low of a shorter one, 10 bars. It is a trend-following system: it accepts many small losses to be in the market when a long trend starts.
The slower 20-bar channel only signals a real new high, and the faster 10-bar channel exits sooner once the trend turns. Using the same length for both would give back more of each move before the exit.
It is the core of the Turtles' first system: a 20-day breakout with a 10-day exit and a 2 ATR stop. This script waits for a close beyond the channel where the Turtles entered as price traded through it, and it does not add units or skip signals after a winning trade.
Yes. Short trades are off by default, so the strategy only buys breakouts and sells on the exit channel or the stop. Short entries need a margin or futures account.
Yes. The entry channel defaults to 20 and accepts 2 to 400, and the exit channel defaults to 10 and accepts 1 to 400. 55 and 20 is a common slower pair. Test a change rather than assuming it signals better.
No. The channels are taken from the bars before the current one and the signals are read only on confirmed bars, so a breakout that appears mid-bar and reverses before the close never opens a trade.
Backtesting runs in the Altrady terminal and needs an account. Sign in, open the strategy on a daily chart, adjust the assumptions listed on this page, then run the backtest and review the results.
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