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Donchian Trend Ensemble (Zarattini-style)

What it does: Buys new closing highs and trails a rising stop. This buys when the daily close makes a new 20-day closing high and trails a stop at the middle of the recent price channel that only moves up. The full version sizes trades to a volatility target and runs several lookbacks together.

Style: Trend · Difficulty: Advanced · Risk: medium · Ready: 0 of 1 variants

When people use it: It tends to work in long trends in assets that rise over time.

Where it struggles: It struggles in long sideways markets. It is long-only, so it has no way to gain in a downtrend; it just waits in cash.

Markets it was written for: BTC, ETH, top-20 coins. Timeframes: 1d.

Long, single lookback (n = 20)

Buys new closing highs and trails a rising stop.

Labels: Trend Following, Long, Spot, Advanced, Slow

Coming later

This needs price channels built from closing prices and a stop that follows an indicator line, features that are coming. You can read how it will work, but you can't add it to your strategies yet.

Planned rules (draft, may change before it ships):

  • Direction: Buy (long) · Market: spot
  • Trigger: On candle close · Main timeframe: Auto (1d)

Entry

  • IF Price crosses above Donchian(20,20) Upper 1 bar ago (1d)

Exit: Indicator-Based Exit

  • IF Price crosses below Donchian(20,20) Middle (1d)
  • Loss controls: Stop-loss % 15%

Settings

Setting Default Editable What changing it does
Lookback 20 No: coming later How many days the channel covers. Shorter enters and exits sooner (more trades); longer catches only bigger trends (fewer trades). Changes the entry and the trailing exit together.

How it works (as shown in the app)

  • This buys when the daily close makes a new 20-day closing high and trails a stop at the middle of the recent price channel that only moves up. The full version sizes trades to a volatility target and runs several lookbacks together.
  • It tends to work in long trends in assets that rise over time.
  • It struggles in long sideways markets. It is long-only, so it has no way to gain in a downtrend; it just waits in cash.
  • Built for daily candles.
  • Coming later: this version needs a closing-price Donchian channel and a trailing stop that follows an indicator line, which Apathia doesn't have yet, so it can't be imported or run today.
  • You can't change the yearly volatility target here yet; that waits on risk-based position sizing.

Warnings

  • None yet: it can't be added.

Good to know

  • It can't be added yet, so it can't be backtested or traded. This page shows how it is planned to work; details may change before it ships.
  • Indicators used: Donchian Channels.