Donchian Channel 100/20
August 22, 2009

System Rules:

  1. Enter on 100 day Donchian Channel breakouts
  2. Exit on 20 day Donchian Channel breakouts
  3. 2 ATR (10 day exponential average) stop.

  • Position Size = ((Account Equity * 1%)/2 ATR)
  • Transaction Slippage = 2 ticks
  • Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF
Results:
Start Date
19840103
End Data
20090818
Trade Days
6449
Years
25.59
Months
Years
Winning
177
20
Losing
130
6
Best
45%
121%
Worst
-16%
-12%
CAGR
16.02%
Max DrawDown
20051101
-37.07%
MAR
.43
Lake Ratio
14.40%
R-Squared
.70
Sharpe Ratio
.74
Total Return
4524%
Starting Equity
$ 1,000,000
Ending Equity
$ 46,238,221

Full Report

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