How It Trades
- Track the highest and lowest close of the previous 20 bars: the Donchian channel.
- 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.
- Sell when the close falls below the 20-bar low, handing the trend back once the range breaks the other way.
Example Strategy
Pine Script
Paste it into TradingView’s Pine Editor to run these rules on any chart.
//@version=6
// Donchian Breakout — sort.finance. Fills at the signal bar's close, 0.02% fee a side,
// whole account per trade, as the backtest. History and indicator warm-up
// differ from the site's, so expect close to the same trades, not identical.
strategy("Donchian Breakout", overlay=true,
initial_capital=100, default_qty_type=strategy.percent_of_equity,
default_qty_value=100, commission_type=strategy.commission.percent,
commission_value=0.02, process_orders_on_close=true, pyramiding=0)
// The bar the current position opened on, and the bar the last one closed on.
var int entryBar = na
var int exitBar = -1
// ── Signals ──────────────────────────────────────────────────────────────
upper = ta.highest(close, 20)[1]
lower = ta.lowest(close, 20)[1]
enterNow = close > upper
exitNow = close < lower
// ── Orders ───────────────────────────────────────────────────────────────
// Open on the first bar the entry holds while flat; close on the first
// later bar the exit holds; never reopen on the bar a position closed.
inTrade = strategy.position_size != 0
if inTrade and bar_index > entryBar and exitNow
strategy.close("Long")
exitBar := bar_index
else if not inTrade and bar_index > exitBar and enterNow
strategy.entry("Long", strategy.long)
entryBar := bar_index
// ── Drawing ──────────────────────────────────────────────────────────────
plot(upper, "Upper Channel", color=#4d8dff)
plot(lower, "Lower Channel", color=#e0a03a)