Trend Following with Donchian Channels and MACD — Strategy by LordRobrecht
By LordRobrecht
Performance Metrics
- Author: LordRobrecht
- Symbol: SP:SPX
- Timeframe: 1 day
- Net P&L: +52,132.64 USD (+52.16%)
- Win Rate: 39.0%
- Profit Factor: 1.437
- Max Drawdown: 10,673.57 USD (7.12%)
- Total Trades: 300
- Sharpe Ratio: −0.312
Description
Dec 11, 2021This is a trend following system based on the Donchian Channels. Instead of using a simple moving average crossover, this system uses the MACD as the trendfilter:Long positions:* Price makes a new 50 day high,* The MACD-line crosses above or is above the Signal-line.* Both the MACD and the Signal-lines are above the zero-line. Short positions:* Price makes a new 50 day low,* The MACD-line crosses below or is below the Signal-line.* Both the MACD and the Signal-lines are below the zero-line.Stoploss:The initial and the trailing stoploss are 4 ATRs away from the price. Dec 11, 2021Release NotesRemoved the MACD from the chart.Changed entrycondition3 = macd and signal >/< hist to 0Increased the pyramiding amount to 4 from 3Dec 11, 2021Release Notes-Dec 13, 2021Release NotesReplaced the multiplier in the position size formula with syminfo.pointvalue in order to get a more accurate position size.Dec 13, 2021Release Notes-Dec 18, 2021Release NotesReverted the pyramiding setting from 4 back to 1 to keep the system simple and the max drawdown low.Added a visual ATR trailing stop, so you know where to put your stoploss.Feb 7, 2022Release NotesAdjusted the position size formula. Improved the stoploss multiplier.