Donchian Breakout

1. Track the highest and lowest close of the previous 20 bars — the Donchian channel.
2. Buy when today's close beats the 20-bar high: price has just done something it hasn't managed in the whole window, often the start of a trend.
3. Sell when the close falls below the 20-bar low, handing the trend back once the range breaks the other way.

Worked example. The highest close of the previous 20 bars is 104. Today's close prints 104.8 — a breakout — so the strategy buys. Weeks later the 20-bar low has risen to 110 and a sell-off closes at 109.5, below it, closing the trade around +4.5%.

Everything runs on closing prices of the traded timeframe: P is a close, P_t today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.

Price Channel (Rolling High / Low)

The highest and lowest close over the previous N bars — the edges of the recent trading range. Closing above the channel top means price just beat every close in that window (a breakout); the channel bottom marks recent support.

Upper_N = max(P_t-1, …, P_t-N),     Lower_N = min(P_t-1, …, P_t-N)

Example: If the previous 5 closes were 100, 103, 101, 102, 104, the channel spans 100 to 104. A close at 105 breaks above the top; a close at 99 breaks below the bottom.