Donchian Channel Breakout
Enter long on an N-day high and short on an N-day low; exit on a shorter M-day opposite extreme — Richard Donchian’s channel, still the skeleton of many CTA breakouts.
Definition
Upper band = rolling N-period high; lower = N-period low. Long when price clears the upper; short when it clears the lower. A faster M-period channel (or the opposite band) is the exit. Dual 20/55 systems layer a fast and a slow channel.
Why it matters
It is parameter-light and testable across a century of futures. Whipsaw in ranges is the bill.
Case
A 20-day breakout in a 6-week rectangle: four scratches. A 55-day breakout into 2022 yields: one late short that paid. The N is the product.
How to read it
N, M, and whether you skip the next 20-day signal after a loser (Turtle System 1 filter). Report trades per year per market.