Donchian CCI Strategy

This strategy uses Donchian CCI indicators to generate signals. Long entry occurs when Price > Donchian Upper && CCI < -100 (breakout up with oversold conditions). Short entry occurs when Price < Donchian Lower && CCI > 100 (breakout down with overbought conditions). It is suitable for traders seeking opportunities in mixed markets.

Testing indicates an average annual return of about 43%. It performs best in the stocks market.

Details

• Entry Criteria:
  • Long: Price > Donchian Upper && CCI < -100 (breakout up with oversold conditions)
  • Short: Price < Donchian Lower && CCI > 100 (breakout down with overbought conditions)
• Long/Short: Both sides.
• Exit Criteria:
  • Long: Exit long position when price falls below middle band
  • Short: Exit short position when price rises above middle band
• Stops: Yes.
• Default Values:
  • DonchianPeriod = 20
  • CciPeriod = 20
  • StopLossPercent = 2m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Mixed
  • Direction: Both
  • Indicators: Donchian CCI
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk Level: Medium