Hello,
I face problem when using Donchian indicator.
My strategy =
For Longs positions (Shorts are reversed)
1. Today must make a new 20 day low the lower the better.
2. The previous 20 day low must have occurred at least four trading sessions earlier. This is very important.
3. After the market falls below the prior 20 day low, place an entry buy stop 1 pip above the previous 20 day
low. This buy stop is good for today only.
4. If the buy stop is filled, immediately place an initial good till canceled sell stop-loss one pip under today's low.
To meet these conditions, I use Donchian indicator.
Rule 1 : Donchian with period 19 and shift 0 (CURRENT) crosses Donchian with period 19 and shift 1 (PREVIOUS)
Rule 2 : 2 Donchians indicators T1 and T2.
T1 is the minimum for the last 4 candles
T2 is the minimum for the last 5 and 15 candles
=> T1 must be greater then T2
I play the strategy on Jforex backtester, and I find that some of the trades don't respect the rule 2.
Please find attached, the strategy.
I attach an example of the bug, appeared on EUR/USD the 2013/13/05 at 08h00 GMT.
I use a color theme to identify the differents Donchians indicators :
Black = Donchian period 19 shift 0 (CURRENT)
Red = Donchian period 19 shift 1 (PREVIOUS)
Yellow = Donchian period 4 shift (T1)
Rose = Donchian period 15 shift 5 (T2)
On this picture, please notice that the trade IVF20130705_09595962036191 doesn't meet the rule 2 because :
Yellow = 1.28840
Rose = 1.28880
=> Yellow < Rose, so the rule 2 is not respected.
I think that there is a bug with Donchian indicator.
Thanks for your answer...
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Donchian_issue1.png [40.75 KiB]
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Donchian_issue_report.png [57.63 KiB]
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Donchian_issue.vfs [60.04 KiB]
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