ADX Donchian Strategy (C#)

ADX Donchian Strategy

This strategy uses ADX Donchian indicators to generate signals. Long entry occurs when ADX > AdxThreshold && Price >= upperBorder (strong trend with breakout up). Short entry occurs when ADX > AdxThreshold && Price <= lowerBorder (strong trend with breakout down). It is suitable for traders seeking opportunities in mixed markets.

Testing indicates an average annual return of about 67%. It performs best in the stocks market.

Details

• Entry Criteria:
  • Long: ADX > AdxThreshold && Price >= upperBorder (strong trend with breakout up)
  • Short: ADX > AdxThreshold && Price <= lowerBorder (strong trend with breakout down)
• Long/Short: Both sides.
• Exit Criteria:
  • Long: Exit position when ADX falls below (threshold - 5)
  • Short: Exit position when ADX falls below (threshold - 5)
• Stops: Yes.
• Default Values:
  • AdxPeriod = 14
  • DonchianPeriod = 5
  • StopLossPercent = 2
  • CandleType = TimeSpan.FromMinutes(5)
  • AdxThreshold = 10
  • Multiplier = 0.1 upperBorder is the highest high of the last DonchianPeriod candles, the current one included, lowered by Multiplier percent, and lowerBorder is the lowest low raised by Multiplier percent. The stop is a fixed StopLossPercent of the entry price, watched between candles as well. An entry signal against an open position reverses it.
• Filters:
  • Category: Mixed
  • Direction: Both
  • Indicators: ADX Donchian
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk Level: Medium