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DonchianChannel

Summary

The Donchian channel is a volatility indicator forming a channel between the highest high and the lowest low of the chosen period.

Remarks

The Donchian channel is mainly used for providing entry signals. A long is established when the price closes above the Donchian Channel. Conversely, if it closes below, then a short is established.

Signature 

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public abstract interface DonchianChannel

Namespace

cAlgo.API.Indicators

Examples

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 //...
 private DonchianChannel donchian;
 //...
 protected override void OnStart()
 {
     donchian = Indicators.DonchianChannel(Period);
 }
 protected override void OnBar()
 {
     Print("Top Value = {0}", donchian.Top.LastValue);
     Print("Middle Value = {0}", donchian.Middle.LastValue);
     Print("Bottom Value = {0}", donchian.Bottom.LastValue);
     //...
 }

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 using cAlgo.API;
 using cAlgo.API.Indicators;
 namespace cAlgo.Robots
 {
     /// This sample cBot shows how to use the Donchian Channel indicator
     [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
     public class DonchianChannelSample : Robot
     {
         private double _volumeInUnits;
         private DonchianChannel _donchianChannel;
         [Parameter("Volume (Lots)", DefaultValue = 0.01)]
         public double VolumeInLots { get; set; }
         [Parameter("Label", DefaultValue = "Sample")]
         public string Label { get; set; }
         [Parameter("Source")]
         public DataSeries Source { get; set; }
         public Position[] BotPositions
         {
             get
             {
                 return Positions.FindAll(Label);
             }
         }
         protected override void OnStart()
         {
             _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
             _donchianChannel = Indicators.DonchianChannel(20);
         }
         protected override void OnBar()
         {
             if (Bars.LowPrices.Last(1) <= _donchianChannel.Bottom.Last(1) && Bars.LowPrices.Last(2) > _donchianChannel.Bottom.Last(2))
             {
                 ClosePositions(TradeType.Sell);
                 ExecuteMarketOrder(TradeType.Buy, SymbolName, _volumeInUnits, Label);
             }
             else if (Bars.HighPrices.Last(1) >= _donchianChannel.Top.Last(1) && Bars.HighPrices.Last(2) < _donchianChannel.Top.Last(2))
             {
                 ClosePositions(TradeType.Buy);
                 ExecuteMarketOrder(TradeType.Sell, SymbolName, _volumeInUnits, Label);
             }
         }
         private void ClosePositions(TradeType tradeType)
         {
             foreach (var position in BotPositions)
             {
                 if (position.TradeType != tradeType) continue;
                 ClosePosition(position);
             }
         }
     }
 }

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 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class Test():
     def on_start(self):
         # Periods is parameter defined in C# file of cBot
         self.donchian = api.Indicators.DonchianChannel(api.Period)
     def on_bar(self):
         print(f"Top Value = {self.donchian.Top.LastValue}")
         print(f"Middle Value = {self.donchian.Middle.LastValue}")
         print(f"Bottom Value = {self.donchian.Bottom.LastValue}")

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 """
 VolumeInLots, Periods, and Label are parameters defined in C# file of cBot.
 """
 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class DonchianChannelSample():
     def on_start(self):
         self.volumeInUnits = api.Symbol.QuantityToVolumeInUnits(api.VolumeInLots)
         self.donchianChannel  = api.Indicators.DonchianChannel(api.Periods)
     def on_bar_closed(self):
         if api.Bars.LowPrices.Last(0) <= self.donchianChannel.Bottom.Last(0) and api.Bars.LowPrices.Last(1) > self.donchianChannel.Bottom.Last(1):
             self.close_positions(TradeType.Sell)
             api.ExecuteMarketOrder(TradeType.Buy, api.SymbolName, self.volumeInUnits, api.Label)
         elif api.Bars.HighPrices.Last(0) >= self.donchianChannel.Top.Last(0) and api.Bars.HighPrices.Last(1) < self.donchianChannel.Top.Last(1):
             self.close_positions(TradeType.Buy)
             api.ExecuteMarketOrder(TradeType.Sell, api.SymbolName, self.volumeInUnits, api.Label)
     def get_bot_positions(self):
         return api.Positions.FindAll(api.Label)
     def close_positions(self, tradeType):
         for position in self.get_bot_positions():
             if position.TradeType != tradeType:
                 continue
             api.ClosePosition(position)

Properties

Top

Summary

Gets or sets the highest high of the period.

Signature 

1
public abstract IndicatorDataSeries Top {get; set;}

Return Value

IndicatorDataSeries

Examples

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 //...
 private DonchianChannel donchian;
 //...
 Print("Top Value = {0}", donchian.Top.LastValue);

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 class Test():
     def on_start(self):
         # Periods is parameter defined in C# file of cBot
         self.donchian = api.Indicators.DonchianChannel(api.Period)
     def on_bar(self):
         print(f"Top Value = {self.donchian.Top.LastValue}")

Middle

Summary

Gets or sets the middle of the highest high and the lowest low of the period.

Signature 

1
public abstract IndicatorDataSeries Middle {get; set;}

Return Value

IndicatorDataSeries

Examples

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 //...
 private DonchianChannel donchian;
 //...
 Print("Middle Value = {0}", donchian.Middle.LastValue);

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 class Test():
     def on_start(self):
         # Periods is parameter defined in C# file of cBot
         self.donchian = api.Indicators.DonchianChannel(api.Period)
     def on_bar(self):
         print(f"Middle Value = {self.donchian.Middle.LastValue}")

Bottom

Summary

Gets or sets the lowest low of the period.

Signature 

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public abstract IndicatorDataSeries Bottom {get; set;}

Return Value

IndicatorDataSeries

Examples

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 //...
 private DonchianChannel donchian;
 //...
 Print("Bottom Value = {0}", donchian.Bottom.LastValue);

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 class Test():
     def on_start(self):
         # Periods is parameter defined in C# file of cBot
         self.donchian = api.Indicators.DonchianChannel(api.Period)
     def on_bar(self):
         print(f"Bottom Value = {self.donchian.Bottom.LastValue}")