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dotnet add package StockSharp.Strategies.0156_Donchian_RSI.py --version 5.0.1

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README

Donchian Rsi Strategy (Python Version)

Strategy combining Donchian Channels and RSI indicators. Buys on Donchian breakouts when RSI confirms trend is not overextended.

Testing indicates an average annual return of about 55%. It performs best in the stocks market.

Donchian channels identify breakout levels, while RSI checks whether momentum supports the move. Positions follow when a breakout aligns with RSI direction.

Best for traders expecting a sustained breakout rather than a fakeout. Risk is limited through an ATR stop.

Details

  • Entry Criteria:
    • Long: Close > DonchianHigh && RSI < RsiOversoldLevel
    • Short: Close < DonchianLow && RSI > RsiOverboughtLevel
  • Long/Short: Both
  • Exit Criteria:
    • Breakout failure or opposite signal
  • Stops: Percent-based using StopLossPercent
  • Default Values:
    • DonchianPeriod = 20
    • RsiPeriod = 14
    • RsiOverboughtLevel = 70m
    • RsiOversoldLevel = 30m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: Donchian Channel, RSI
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium

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