Donchian CCI Strategy (C#)

Donchian CCI Strategy

This strategy uses Donchian CCI indicators to generate signals. Long entry occurs when Price > Donchian Upper && CCI > CciOverbought (breakout up with upward momentum). Short entry occurs when Price < Donchian Lower && CCI < CciOversold (breakout down with downward momentum). 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 > CciOverbought (breakout up with upward momentum)
  • Short: Price < Donchian Lower && CCI < CciOversold (breakout down with downward momentum)
• 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
  • CciOverbought = 100
  • CciOversold = -100
  • StopLossPercent = 2 The channel is the high and low of the previous DonchianPeriod candles, and its middle is halfway between them. An upside breakout is confirmed when CCI is above CciOverbought and a downside one when CCI is below CciOversold; the opposite reading, an oversold CCI on a close above the channel, essentially never occurs. An entry signal against an open position reverses it.
  • 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