Donchian Breakout Strategy by feliperazeek
By feliperazeek
Performance Metrics
- Author: feliperazeek
- Symbol: BINGX:BTCUSDT.PS
- Timeframe: 4 hours
- Net P&L: +244,788.07 USDT (+24.48%)
- Win Rate: 43.6%
- Profit Factor: 1.734
- Max Drawdown: 37,832.31 USDT (3.20%)
- Total Trades: 149
- Sharpe Ratio: 0.182
Description
📈 Donchian Breakout Strategy (Inspired by Way of the Turtle)This strategy is a modern adaptation of the legendary Turtle Trading system as taught in Way of the Turtle by Curtis Faith — re-engineered for the crypto market’s volatility, 24/7 nature, and frequent fakeouts.⸻🐢 Original InspirationThe original Turtle system, created by Richard Dennis and William Eckhardt, used: • Breakouts of Donchian Channels (20-day for entry, 10-day for exit) • Volatility-based position sizing using ATR (N) • Simple rules, big trend exposure, and pyramiding to grow winnersIt was built for futures and commodities, trading daily bars, assuming stable trading hours and regulated markets.⸻🚀 What’s Different in This Strategy?✅ Optimized for Crypto • Adapts to constant volatility and price manipulation common in crypto • Adds commission modeling for realistic results (0.045% default)✅ Improved Entry Filtering • Uses EMA filter to align with trend direction • Adds RSI momentum check to avoid early or weak breakouts • Optional volatility and volume filters to reduce false signals✅ Smarter Exits • ATR-based volatility stop loss, not just Donchian reversal • Avoids pyramiding to reduce risk from sudden reversals✅ Backtest-Friendly • Default backtest window starts from 2025-01-01 • Fully configurable: long/short toggle, filter control, stop loss multiplier⸻🧪 Use Case • Best on trending coins with strong directional moves • Avoids chop via filters, preserving capital • Can be tuned for aggressive or conservative setups with just a few tweaks