Donchian Channel Strategy

donchian.pine

//@version=5
strategy("Donchian Breakout Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10, commission_type=strategy.commission.percent, commission_value=0.045)

// === Inputs ===
entryLen = input.int(20, "Donchian Entry Length", minval=1)
exitLen = input.int(10, "Donchian Exit Length", minval=1)
atrLength = input.int(14, "ATR Length", minval=1)
atrMult = input.float(1.5, "ATR Stop Multiplier", minval=0.1)
emaLen = input.int(50, "EMA Trend Filter Length")

useLongs = input.bool(true, "Enable Longs")
useShorts = input.bool(true, "Enable Shorts")
useVolatilityFilter = input.bool(true, "Use Volatility Filter (ATR must be above SMA of ATR)")
useVolumeFilter = input.bool(false, "Use Volume Filter (Volume above SMA)")

volSmaLen = input.int(20, "Volume SMA Length")
volatilitySmaLen = input.int(20, "ATR SMA Length")

// === Time Filter for Backtest ===
startDate = timestamp("2025-01-01 00:00 +0000")
if (time < startDate)
    strategy.cancel_all()

// === Indicators ===
highestHigh = ta.highest(high, entryLen)
lowestLow = ta.lowest(low, entryLen)
exitLong = ta.lowest(low, exitLen)
exitShort = ta.highest(high, exitLen)

atr = ta.atr(atrLength)
atrSMA = ta.sma(atr, volatilitySmaLen)
volatilityPass = not useVolatilityFilter or (atr > atrSMA)

volSMA = ta.sma(volume, volSmaLen)
volumePass = not useVolumeFilter or (volume > volSMA)

ema = ta.ema(close, emaLen)

// === Entry Conditions ===
longCondition = useLongs and close > highestHigh[1] and close > ema and ta.rsi(close, 14) > 50 and volatilityPass and volumePass
shortCondition = useShorts and close < lowestLow[1] and close < ema and ta.rsi(close, 14) < 50 and volatilityPass and volumePass

// === Exit Conditions ===
longExit = close < exitLong[1]
shortExit = close > exitShort[1]

// === ATR-Based Stop Loss ===
longStop = close - atr * atrMult
shortStop = close + atr * atrMult

// === Entry Execution ===
if (longCondition)
    strategy.entry("Long", strategy.long)
    strategy.exit("Long Exit", from_entry="Long", stop=longStop)

if (shortCondition)
    strategy.entry("Short", strategy.short)
    strategy.exit("Short Exit", from_entry="Short", stop=shortStop)

// === Exit Execution ===
if (strategy.position_size > 0 and longExit)
    strategy.close("Long")

if (strategy.position_size < 0 and shortExit)
    strategy.close("Short")

// === Plotting ===
plot(highestHigh, title="Donchian High", color=color.green)
plot(lowestLow, title="Donchian Low", color=color.red)
plot(exitLong, title="Long Exit Level", color=color.orange)
plot(exitShort, title="Short Exit Level", color=color.purple)
plot(ema, title="EMA Filter", color=color.blue)

// === Visual Debug ===
plotshape(longCondition, title="Long Entry", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(shortCondition, title="Short Entry", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)
plotshape(longExit, title="Long Exit", location=location.abovebar, color=color.orange, style=shape.xcross, size=size.tiny)
plotshape(shortExit, title="Short Exit", location=location.belowbar, color=color.purple, style=shape.xcross, size=size.tiny)