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Donchian Channels

Created by Richard Donchian, Donchian Channels, also called Price Channels, are price ranges derived from highest High and lowest Low values. [Discuss] 💬

// C# usage syntax
IEnumerable<DonchianResult> results =
  quotes.GetDonchian(lookbackPeriods);

Parameters

lookbackPeriods int - Number of periods (N) for lookback period. Must be greater than 0 to calculate; however we suggest a larger value for an appropriate sample size. Default is 20.

Historical quotes requirements

You must have at least N+1 periods of quotes to cover the warmup periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IEnumerable<DonchianResult>

• This method returns a time series of all available indicator values for the quotes provided.
• It always returns the same number of elements as there are in the historical quotes.
• It does not return a single incremental indicator value.
• The first N periods will have null values since there’s not enough data to calculate.

DonchianResult

Date DateTime - Date from evaluated TQuote

UpperBand decimal - Upper line is the highest High over N periods

Centerline decimal - Simple average of Upper and Lower bands

LowerBand decimal - Lower line is the lowest Low over N periods

Width decimal - Width as percent of Centerline price. (UpperBand-LowerBand)/Centerline

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(qty)

See Utilities and helpers for more information.

Chaining

This indicator is not chain-enabled and must be generated from quotes. It cannot be used for further processing by other chain-enabled indicators.