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Stopping ETD (End of Trade drawdown) with classic Donchian Channels strategies
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Stopping ETD (End of Trade drawdown) with classic Donchian Channels strategies

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Stopping ETD (End of Trade drawdown) with classic Donchian Channels strategies

Iím wondering if someone would be willing to point me in the right direction or share their experience?

Iíve been working with a classic Donchain Channel strategy on 4 hourly data (Forex). It backtests, optimises and performs out of sample fairly well Ė over a longer look back period (i.e. 70 bars). However, as the exit strategy is just the other side of the channel meaning that the end of trade drawdown is horrendous. Iím wondering if anyone has any references for exit strategies which help this? An exit strategy which would help to hang onto more of the profit. I am thinking if Iím able to capture profit on each trade, then I could reduce the timeframe Ė getting more trades leading to more robust strategy and more consistent profits.

Iíve backtested using a standard target (e.g. 3 or 2.5 x entry channel) without success. It unfortunately just chops off the big winners, which are obviously the key feature in a trend following strategy.

Any pointers in to references or shared experience would be greatly appreciated.

Thanks and regards,

drolles

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drolles View Post
Iím wondering if someone would be willing to point me in the right direction or share their experience?

Iíve been working with a classic Donchain Channel strategy on 4 hourly data (Forex). It backtests, optimises and performs out of sample fairly well Ė over a longer look back period (i.e. 70 bars). However, as the exit strategy is just the other side of the channel meaning that the end of trade drawdown is horrendous. Iím wondering if anyone has any references for exit strategies which help this? An exit strategy which would help to hang onto more of the profit. I am thinking if Iím able to capture profit on each trade, then I could reduce the timeframe Ė getting more trades leading to more robust strategy and more consistent profits.

Iíve backtested using a standard target (e.g. 3 or 2.5 x entry channel) without success. It unfortunately just chops off the big winners, which are obviously the key feature in a trend following strategy.

Any pointers in to references or shared experience would be greatly appreciated.

Thanks and regards,

drolles

Hi Drolles,

Have a look to Sharky's trading https://futures.io/forex-currency-trading/5828-sharkys-real-world-trading-classroom-24.html he is using DC and has just implemented a chop indicator. Since he is using a different time frame you will have to adapt the indicators to your style.

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