Donchian Breakout with ATR Trailing Stop (Trend Following) — Strategy by raven_suurineru
By raven_suurineru
Performance Metrics
- Author: raven_suurineru
- Symbol: CRYPTO:BTCUSD
- Timeframe: 4 hours
- Win Rate: 46.3%
- Profit Factor: 1.563
Description
A simple, transparent trend-following strategy: a classic Donchian(turtle) channel breakout with a single ATR-based trailing stop.It was deliberately built to be robust across markets rather thancurve-fit to one — the same code and settings held up on both anequity index (DAX/GER40, 1h) and Bitcoin (BTCUSD, 4h), and acrosstrailing multipliers of 2.5–3.5.HOW IT WORKS- Entry: goes long when price closes above the highest high of the last N bars (default 20) while above the 200 EMA trend filter. Short side is optional and off by default.- Exit: one ATR-based trailing stop (distance = ATR × multiplier, default 2.5, fixed at entry). It serves as both the initial protective stop and the trailing exit — cutting losses and letting winners run, fully automatically. No separate exit signal needed.- Risk: size is derived from a fixed % risk per trade against the stop distance (compounding), with optional risk and leverage caps.- Optional weekend-flat close for instruments with gap risk.HOW TO USE- Best on genuinely trending markets. Try it on your own instrument and timeframe.- Tune the risk % to your own drawdown tolerance, and the ATR multiplier to taste (2.5–3.5 behaved similarly — a good sign the edge isn't fitted to one value).- Built-in alerts: the entry alert gives you the trailing-stop distance to set on your broker; the trailing stop handles the exit.WHAT TO EXPECT — READ THIS- It's a breakout system, so win rate is LOW: ~40–45% is normal. The edge is that winners are bigger than losers, not that you're right often. Judge it by profit factor and drawdown, not win rate.- Expect long flat/drawdown periods in choppy, range-bound markets. It performs when markets trend.- COSTS DECIDE EVERYTHING. Set your own broker's spread/commission in the properties before trusting any result. Something that looks great at zero cost can be break-even or worse once real spreads — and, for leveraged CFDs, overnight financing — are included. Results vary a lot by broker and instrument.NOTES- No repainting: entries use the prior bar's channel; the trailing stop only ratchets in the trade's favor.- Not financial advice. Past backtest results do not guarantee future performance. Always test on your own market, timeframe and broker costs, and only risk what you can afford to lose.